Semi-Annual Report
Classes A, B, C and I
April 30, 2000
U.S. EQUITY FUNDS
Pilgrim Growth + Value
Pilgrim Research Enhanced Index
INTERNATIONAL EQUITY FUNDS
Pilgrim International Value
Pilgrim Emerging Markets Value
INCOME FUNDS
Pilgrim High Total Return
Pilgrim High Total Return II
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Pilgrim
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TABLE OF CONTENTS
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Chairman's Message ....................................................... 1
Portfolio Managers' Reports:
U.S. Equity Funds ................................................... 2
International Equity Funds .......................................... 6
Income Funds ........................................................ 10
Index Descriptions ....................................................... 14
Shareholder Meeting ...................................................... 15
Statements of Assets and Liabilities . .......... ...... ................. 16
Statements of Operations ................................................. 20
Statements of Changes in Net Assets ...................................... 22
Financial Highlights ..................................................... 26
Notes to Financial Statements ............................................ 32
Portfolios of Investments ................................................ 42
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Pilgrim
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CHAIRMAN'S MESSAGE
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Dear Shareholder:
We are pleased to present the Semi-Annual Report for the Pilgrim Funds. On
October 29, 1999, ReliaStar Financial Corp., the indirect parent company of
Northstar Investment Management Corporation ("Northstar"), acquired Pilgrim
Capital Corporation and its subsidiaries. The Advisor to the Funds, Pilgrim
Advisors, Inc., merged into Pilgrim Investments, Inc. on April 30, 2000.
Our fund family now has 28 funds of varying types which provide core investment
choices for the serious investor. There are two U.S. Equity Funds, two
International Equity Funds and two Income Funds included in this Semi-Annual
Report.
At Pilgrim, we are dedicated to providing core investments for the serious
investor. We believe that the key to success is matching quality core
investments to the individual needs of investors. Core investments are the
foundation of every portfolio and the basis of other important investment
decisions. Pilgrim prides itself on providing a family of core investments
designed to help you reach your financial goals. Our goal is for every investor
to have a successful investment experience.(SM)
Sincerely,
/s/ Robert W. Stallings
Robert W. Stallings
Chairman
Pilgrim Investments, Inc.
May 23, 2000
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U.S. Equity
Funds
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Portfolio
PILGRIM GROWTH + VALUE FUND Manager's Report
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Portfolio Management: Louis Navellier, Chief Investment Officer and President
of Navellier Fund Management Inc.
Goal: The Growth + Value Fund seeks to provide long-term capital appreciation by
investing in equity securities of fast growing companies utilizing quantitative
analysis.
Market Overview: The period between October 31, 1999 and April 30, 2000 can be
broken down into two distinct segments. The first four and a half months were
generally very positive for growth stocks, albeit volatile as well. The final
six weeks of the period saw what can only be characterized as a massive
correction. As March of 2000 got under way, it appeared that there was no
stopping the raging bull market. Even in the face of further rate hikes from the
Federal Reserve, tech stocks continued to rally at an unprecedented pace. In mid
March investors abandoned high-flying growth stocks and temporarily sought
refuge in value stocks as they became convinced that long-term bond yields had
peaked. The rally in value stocks turned out to be a "dead cat bounce" as fear
of rampant inflation and further rate hikes increased investor anxiety and led
to broad market decline.
Performance: For the six month period ended April 30, 2000, the Fund's Class A
shares, excluding sales charges, provided a total return of 51.04% compared to
the Russell 2000 index which rose 18.72% for the same period.
Portfolio Specifics: During the first four months of the year, the Fund remained
heavily concentrated in many of the same rapidly growing technology stocks that
were responsible for its strong performance in the fourth quarter of 1999.
Unfortunately, the technology sector suffered the most damage of all sectors
during the stock market meltdown that began in mid-March. The Fund's portfolio
was changed only slightly over the past six months as our quantitative stock
selection screens continued to find the most attractive stocks in the small and
mid cap growth arena.
Market Outlook: The trends we saw begin in March carried through into April.
Those trends were specifically Large Cap outperforming Small Cap, and Value
outperforming Growth. Our quantitative analysis suggests a continuation of these
trends, as the technology sector is now making up less of our buy list than it
was a month ago. Our quarterly fundamental back testing will reveal which groups
will likely become the new market leaders. We would expect a decreased emphasis
on earnings-driven strategies, and increased focus on relative valuation
strategies, as investors pay more attention to the fundamentals of the stocks
they purchase.
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Portfolio
Manager's Report PILGRIM GROWTH + VALUE FUND
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Average Annual Total Returns for the
Periods Ended April 30, 2000
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Since Inception
1 Year 11/18/96
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Including Sales Charge:
Class A (1) 71.83% 35.61%
Class B (2) 76.16% 36.59%
Class C (3) 80.21% 36.98%
Excluding Sales Charge:
Class A 82.32% 37.96%
Class B 81.16% 37.00%
Class C 81.21% 36.98%
Russell 2000 Index 18.42% 13.04%
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim Growth + Value Fund against the Russell 2000 Index. The Index
has an inherent performance advantage over the Fund since it has no cash in its
portfolio, imposes no sales charges and incurs no operating expenses. An
investor cannot invest directly in an index. The Fund's performance is shown
both with and without the imposition of sales charges.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This report contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 3%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities. In exchange for higher growth potential, investing in
stocks of smaller and mid-sized companies may entail greater price variability
than investing in stocks of larger companies.
See accompanying index descriptions on page 14.
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U.S. Equity
Funds
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Portfolio
PILGRIM RESEARCH ENHANCED INDEX FUND Manager's Report
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Portfolio Management Team: Timothy Devlin, Vice President, J.P. Morgan
Investment Management Inc. and Portfolio Manager; Bernard Kroll, Managing
Director of J.P. Morgan Investment Management Inc. and Portfolio Manager.
Goal: The Research Enhanced Index Fund seeks to earn a total return modestly in
excess of the S&P 500 Index while maintaining a return volatility similar to the
S&P 500 Index.
Market Overview: Technology and growth continued to be favored by investors and
positive price momentum remained an indicator of short-term success throughout
the greater part of the six-month period ending April 30, 2000. Specific risk or
individual stock volatility has remained at historical proportions and has
clearly been evident in the magnitude with which stock prices have moved around
any specific company or market news. Technology has been the greatest
contributor to index results, with two stocks in particular, Intel and Cisco,
accounting almost entirely for the gains. However, several previously bullish
industry pundits admonished that valuations among technology stocks were
unjustifiably extended, triggering a sharp rotation out of technology and into
more value-oriented sectors in March. While we are not underweight technology,
sector neutral as always, the modest rotation had a positive effect on the Fund
as we posted positive returns over the benchmark in March. The market then
experienced an about-face in April as value decidedly outperformed growth by a
meaningful amount for the first time since the spring of 1999. The S&P Value
Index fell 0.67% while the S&P Growth Index fell 4.95%. The technology,
telecommunications, & media sectors that had led the market over the last few
years were all stifled in April. In particular, the software & services sector
was down 21.3% due to the bleak performance of Microsoft (-34.3%), the Fund's
fourth largest holding. Utilities (+10.9%) and consumer cyclicals (+11.7%)
became the best performing sectors in April. Investors returned to the security
of low price-to-earnings ratios found in these groups. Stock prices have become
very depressed in these interest-sensitive sectors because of the Federal
Reserve's tight monetary policy.
Performance: For the six month period ended April 30, 2000, the Fund's Class A
shares, excluding sales charges , provided a total return of 4.91% versus 7.26%
for the S&P 500 Index.
Portfolio Specifics: Although the market broadened during the latter part of the
reporting period, the large-cap U.S. equity market continued to tout a very
narrow group of mega-cap stocks, and investors tended to focus on short-term
earnings, projecting them forward indefinitely. This behavior, which was present
for the majority of the period, presented a challenge to the Fund, which focuses
on normalized earnings and intermediate-term growth rates. The Fund is
well-diversified and its risk controls are robust, nevertheless, during times of
extreme internal market divergence, even the modest exposures to common risk
factors, such as price momentum, can result in out-of-scale performance results.
Stock selection within the Drugs, Services and Chemicals sectors were the
strongest contributors to performance despite biotechnology stocks trading lower
in response to President Clinton's comments on the viability of patents in
genomic research. Within the drug sector, the Fund benefited from an overweight
position in Monsanto and an underweight position in Johnson & Johnson. Monsanto
recently released financial details concerning its proposed merger with
Pharmacia & Upjohn. They estimate near-term growth of 15% and 20% EPS growth
after 2002. Johnson & Johnson lost momentum stemming from its decision to cease
marketing Propulsid, a popular heartburn medicine, after receiving reports of
severe side effects. Within the technology sector, Cisco Systems, the leader in
network equipment, contributed to performance as it has benefited from a
build-out in networking stemming from the explosion in its B2B and B2C
businesses.
Stock selection within the Consumer Stable and Finance sectors detracted from
performance. Shares of Consumer Stable stock, Procter and Gamble, lost more than
a third of their value after the company announced its third-quarter earnings
would fall well below year-ago levels because of higher raw materials costs and
aggressive pricing by competitors. We continue to hold finance stocks in the
Fund that have been deemed undervalued relative to their longer-term earnings
potential. However, in the short term, many of these savings & loan and
miscellaneous financial services stocks continue to underperform because of the
rising interest rate environment. Nevertheless, since most investors expect
rates to increase, the stocks' prices should already reflect this information.
Market Outlook: We remain confident in our investment process and risk controls,
and expect that the historically wide spread between the most and least
attractive names in our universe suggests opportunities ahead. We expect the
market to continue to broaden. Most of the positive performance over the last
few years has come from the "Nifty Fifty" & mega-cap growth stocks. We believe
that a return of global growth will cause investors to look beyond these
over-priced stocks to companies that trade at much lower multiples
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Portfolio
Manager's Report PILGRIM RESEARCH ENHANCED INDEX FUND
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Average Annual Total Returns for the
Periods Ended April 30, 2000
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Since Inception
1 Year 12/30/98
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Including Sales Charge:
Class A (1) 0.41% 7.48%
Class B (2) 0.91% 8.80%
Class C (3) 4.81% 11.69%
Class I N/A N/A
Excluding Sales Charge:
Class A 6.54% 12.34%
Class B 5.91% 11.69%
Class C 5.81% 11.69%
Class I 6.99% 12.77%
S&P 500 Index 10.12% 14.55%
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim Research Enhanced Index Fund against the S&P 500 Index. The
Index has an inherent performance advantage over the Fund since it has no cash
in its portfolio, imposes no sales charges and incurs no operating expenses. An
investor cannot invest directly in an index. The Fund's performance is shown
both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Manager has waived certain
fees and expenses otherwise payable by the Fund. Total returns would have been
lower had there been no waiver to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This report contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 4%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
Principal Risk Factor(s): Exposure to financial and market risks that accompany
investments in equities.
See accompanying index descriptions on page 14.
5
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International Equity
Funds
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Portfolio
PILGRIM INTERNATIONAL VALUE FUND Manager's Report
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Portfolio Management Team: Managed by Multi-Member Investment Committee of
Brandes Investment Partners, L.P.
Goal: The International Value Fund seeks to maximize long-term capital
appreciation by investing primarily in non-U.S. companies with market
capitalizations greater than $1 billion. The Fund may hold up to 25% of its
assets in companies with smaller market capitalizations.
Market Overview: The period was characterized by international stock markets
climbing to record highs and suffering sharp declines. For much of the six-month
period, technology stocks were among the best-performing non-U.S. stocks.
However, most of these companies did not meet our strict value investment
criteria. A lack of exposure to this sector adversely affected the Fund's
relative returns.
The fundamental strengths and attractive valuations of our holdings in
industries such as food & household products and automobiles went largely
unnoticed. Stocks in these industries were among the worst performers in the
period.
While technology stocks soared throughout much of the period, investors
reassessed opportunities outside the technology sector in March and April. They
shifted their focus away from high P/E stocks to more undervalued securities.
The apparent reevaluation of fundamental strengths accompanied a return to favor
for value stocks.
Performance: For the six month period ended April 30, 2000, the Fund's Class A
shares, excluding sales charges, provided a total return of 12.37% versus 6.10%
for the MSCI EAFE Index.
Portfolio Specifics: Strong returns among telecommunications holdings were
primarily responsible for the Fund's outperformance during the period. Among the
best-performing telecom holdings were Deutsche Telekom (Germany), Telecom Italia
(Italy), and Telefonos de Mexico (Mexico).
Holdings in the industrial components and electrical & electronics industries
also were positive influences on returns during the period.
On a country basis, holdings in Germany and Japan were among the better
performers. While Kyocera (Japan -- industrial components) was one of the
best-performing holdings, we completely eliminated our exposure in this company
in March. Following significant gains, we sold it to pursue other, more
attractive opportunities exhibiting more favorable risk/reward profiles.
The greatest detriment to returns during the period was the Fund's significant
exposure to underperforming holdings in the United Kingdom, including Unilever
(food & household products) and National Power (utilities). We viewed the
declines as temporary setbacks and a good opportunity to add to selective
positions and make new purchases in the United Kingdom.
Market Outlook: While value investing appeared to recapture investor favor
later in the period, it remains to be seen whether it can continue.
Regardless of short-term market fluctuations, we retain strict adherence to our
investment process, seeking companies with solid traits that are currently out
of favor. We believe this approach may continue to reward long-term investors
with favorable gains and a margin of safety.
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Portfolio
Manager's Report PILGRIM INTERNATIONAL VALUE FUND
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Average Annual Total Returns for the
Periods Ended April 30, 2000
------------------------------------------------
Since Inception Since Inception
of Class A and C of Class B
1 Year 3/6/95 4/18/97
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Including Sales Charge:
Class A (1) 11.68% 17.43% --
Class B (2) 12.61% -- 19.44%
Class C (3) 16.52% 18.00% --
Excluding Sales Charge:
Class A 18.45% 18.78% --
Class B 17.61% -- 20.12%
Class C 17.52% 18.00% --
MSCI EAFE Index 12.47% 9.86% 13.13%
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim International Value Fund against the MSCI EAFE Index. The
Index has an inherent performance advantage over the Fund since it has no cash
in its portfolio, imposes no sales charges and incurs no operating expenses. An
investor cannot invest directly in an index. The Fund's performance is shown
both with and without the imposition of sales charges.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This report contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 3%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
Principal Risk Factor(s): International investing does pose special risks,
including currency fluctuation and political risks not found in investments that
are solely domestic. Risks of foreign investing are generally intensified for
investments in emerging markets. In exchange for higher growth potential,
investing in stocks of small and medium sized companies may entail greater price
variability than investing in stocks of larger companies.
See accompanying index descriptions on page 14.
7
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International Equity
Funds
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Portfolio
PILGRIM EMERGING MARKETS VALUE FUND Manager's Report
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Portfolio Management Team: Managed by Multi-Member Investment Committee of
Brandes Investment Partners, L.P.
Goal: The Emerging Markets Value Fund seeks to maximize long-term capital
appreciation by investing primarily in companies located in countries with
emerging markets, including companies that may be smaller and lesser-known.
Market Overview: The period was characterized by emerging stock markets climbing
to record highs and suffering sharp declines. For much of the six-month period,
technology stocks were among the best-performing stocks in emerging markets.
However, most of these companies did not meet our strict value investment
criteria. A lack of exposure to this sector adversely affected the Fund's
relative returns.
The fundamental strengths and attractive valuations of our holdings in
industries such as textiles and food & household products went largely
unnoticed. Stocks in these industries were among the worst performers in the
period.
While technology stocks soared throughout much of the period, investors
reassessed opportunities outside the technology sector in March and April. They
shifted their focus away from high P/E stocks to more undervalued securities.
The apparent reevaluation of fundamental strengths accompanied a return to favor
for value stocks.
Performance: For the six month period ended April 30, 2000, the Fund's Class A
shares, excluding sales charges, provided a total return of 5.11% versus 13.11%
for the MSCI Emerging Markets Free Index.
Portfolio Specifics: Returns among emerging markets were disparate during the
period, underscoring the need for selectivity. In the Philippines, for example,
reports of stock-price manipulation and a tightening of monetary policy
negatively affected the market. Stocks in Thailand, Indonesia, and China also
slumped during the period.
Exposure to declining stocks in China, South Africa, and India were the greatest
contributors to the Fund's underperformance during the period. Among the
worst-performing holdings were Iscor (South Africa -- metals), Bombay Dyeing and
Manufacturing (India -- textiles and apparel), and Beijing Datang (China --
utilities).
Among the Fund's best performers during the period were holdings in the
telecommunications, electrical and electronics, and energy sources industries.
Higher prices for commodities such as oil boosted revenue projections for
companies in many export-dependent emerging markets.
Holdings in Brazil, Mexico, Russia, and Turkey also delivered solid gains.
Market Outlook: Whether the renewed enthusiasm for value investing that
characterized the final two months of the period continues remains to be seen.
Regardless of short-term market fluctuations, we retain strict adherence to our
investment process, seeking companies with solid traits that are currently out
of favor. We believe this approach may continue to reward long-term investors
with favorable gains and a margin of safety.
While stocks in emerging markets have rebounded significantly from their recent
lows in the wake of currency and economic crises, we continue to uncover
attractively priced stocks of businesses with solid fundamental traits. The
strengths of the individual holdings in your portfolio inspire our confidence
and enthusiasm regarding the future.
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Portfolio
Manager's Report PILGRIM EMERGING MARKETS VALUE FUND
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Average Annual Total Returns for the
Periods Ended April 30, 2000
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Since Inception
1 Year 1/1/98
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Including Sales Charge:
Class A (1) 5.40% 3.27%
Class B (2) 5.97% 3.95%
Class C (3) 10.16% 5.14%
Excluding Sales Charge:
Class A 11.80% 5.92%
Class B 10.97% 5.17%
Class C 11.16% 5.16%
MSCI EMF Index 20.21% 8.00%
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim Emerging Markets Value Fund against the MSCI Emerging Markets
Free (EMF) Index. The Index has an inherent performance advantage over the Fund
since it has no cash in its portfolio, imposes no sales charge and incurs no
operating expenses. An investor cannot invest directly in an index. The Fund's
performance is shown both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Manager had waived certain
fees and expenses otherwise payable by the Fund. Total returns would have been
lower had there been no waiver to the Fund.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This report contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 5.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 3%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
Principal Risk Factor(s): International investing does pose special risks,
including currency fluctuation and political risks not found in investments that
are solely domestic. Risks of foreign investing are generally intensified for
investments in emerging markets. In exchange for higher growth potential,
investing in stocks of smaller companies may entail greater price variability
than investing in stocks of larger companies.
See accompanying index descriptions on page 14.
9
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Income
Funds
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Portfolio
PILGRIM HIGH TOTAL RETURN FUND Manager's Report
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Portfolio Management Team: Kevin Mathews, Senior Vice President & Senior
Portfolio Manager, Charles Ullerich, Vice President & Portfolio Manager
Goals: The High Total Return Fund invests primarily in higher-yielding,
lower-rated bonds to achieve high current income with potential for capital
growth
Market Overview: In the six-month period ended April 30, 2000 security markets
experienced historical record high levels of price volatility. Huge valuations
placed on internet and communications issues in the form of excessive price
earnings ratios, had placed a premium on the market. Those premiums began to
correct to lower levels in the first quarter of 2000, as investors became
increasingly uneasy with the prospects for continued economic growth with low
inflation in the United States. This correction, magnified by the effects of
margin account buying, took no prisoners. Legendary names in the hedge fund
business closed up shop or significantly restructured operations as a result of
losses in leveraged stock bets.
Much of the source of the uncertainty in the market surrounds the Federal Open
Market Committee ("FOMC"). The FOMC, which has been raising short-term interest
rates since late 1998, continued tightening at a more aggressive rate in the
first four months of 2000. FOMC Governors are concerned about the rapid rate of
economic growth currently being experienced in the US, as well as the recent
increases in leading inflation indexes.
High yield bond investors similarly experienced rocky markets in the first four
months of 2000. High yield bond prices have trended downward for the last year
amid concerns about the economy and inflation. The high yield market has been
experiencing increased levels of defaults and decreased recovery rates from
those defaults. Concerns about corporate credit quality have caused spreads to
widen. The effect has been most pronounced in the high yield market, but all
levels of corporate bond credit quality have experienced wider spreads versus
treasuries. Until the market feels more reassured about the prospects for low
inflation and moderate economic growth, the high yield market will continue to
trade in a risk avoidance mode.
Performance: For the six months ended April 30, 2000, the Fund's Class A shares,
excluding sales charges, declined 7.82% compared to the Lehman Brothers High
Yield Index which returned 0.08% for the same period.
Portfolio Specifics: The Fund experienced significant challenges over the last
six months as credit specific events required a reevaluation of several material
positions within the portfolio. For example, Intracel, a biotechnology firm, and
Poland Telecom Operators, a Polish telephone company, both ran low on cash, as
investors became bearish on business prospects. Comforce, a personnel
outsourcing company, traded down as the industry went out of favor with
investors. The Fund's overweighting in the lowest tier of credit quality also
impacted performance. The Merrill Lynch Triple-C/Double-C/Single-C Index for the
six month period ended April 30, 2000 underperformed the Single-B Index by 243
basis points.
The Fund continues to carry an overweighted position in the Communications
sector, including the wireless, wireline, and internet subsectors.
Acquisition/merger activity, within the communication and media sectors, helped
performance as bonds and equity were taken out at a premium. For example,
Unisite, a wireless communication tower company, was acquired by American Tower.
American Tower has a higher credit rating than Unisite. Source Media, a cable
and print media company, announced a joint venture with Insight Communications.
Given the good news, we took the opportunity to sell Source Media stock. Source
Media currently trades significantly below the prices at which we sold.
Management continues to hold an above average cash position in the 5 to 10%
range. The added liquidity allows us to be flexible and opportunistic. Average
credit quality was held at Single-B, as our expectation of continued economic
growth with low inflation in the domestic economy was proven correct.
Market Outlook: By most conventional measures of high yield market valuation the
sector looks cheap. Spreads on most of the major high yield indexes have only
been wider in the recession of 1989-90. Default rates seem to be at or near
their peak and defaults tend to peak before recessions in the high yield market.
Mutual fund redemptions continue, but insurance company and pension fund buying
has been stepped up by managers who feel the market is cheap. What we have not
seen is a change in investor sentiment and a return of the high yield new issue
market.
Much depends on FOMC policy and valuations in the NASDAQ market. If the FOMC
continues to tighten, it will weigh heavily on the minds of investors. Without
the knowledge that Alan Greenspan and his fellow FOMC members are satisfied with
the economic and inflationary outlook, investors will remain risk averse.
Valuations are
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Portfolio
Manager's Report PILGRIM HIGH TOTAL RETURN FUND
--------------------------------------------------------------------------------
another key element in the equation. NASDAQ is heavily weighted with
telecommunications equity issues. Telecommunications bond issues make up between
30-40% of the total composition of the high yield market. Many high yield funds
have heavy weightings in the sector. With some internet and telecommunications
issues reaching earnings
multiples measured in the hundreds of times earnings, (for those that have
earnings), the ability of those companies to grow into those multiples remains
in question. Bonds appear more fairly valued, but regardless will trade in
sympathy with the equity markets.
<TABLE>
<CAPTION>
Average Annual Total Returns for the Periods Ended April 30, 2000
-----------------------------------------------------------------------
Since Inception Since Inception Since Inception
of Class A of Class B of Class C
1 Year 5 Year 11/8/93 2/9/94 3/21/94
------ ------ ------- ------ -------
<S> <C> <C> <C> <C> <C>
Including Sales Charge:
Class A (1) -22.17% 1.44% 1.58% -- --
Class B (2) -22.47% 1.44% -- 0.69% --
Class C (3) -19.43% 1.71% -- -- 1.09%
Excluding Sales Charge:
Class A -18.19% 2.43% 2.35% -- --
Class B -18.80% 1.69% -- 0.69% --
Class C -18.70% 1.71% -- -- 1.09%
Lehman High Yield Bond Index -3.53% 7.04% 6.84%(4) 6.46%(4) 7.36%(4)
</TABLE>
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim High Total Return Fund against the Lehman High Yield Bond
Index. The Index has an inherent performance advantage over the Fund since it
has no cash in its portfolio, imposes no sales charges and incurs no operating
expenses. An investor cannot invest directly in an index. The Fund's performance
is shown both with and without the imposition of sales charges.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This report contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The managers' views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 4.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 2%,
respectively, for the 1 year and 5 year returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
(4) Index return from 10/31/93 for Class A, 1/31/94 for Class B and 3/31/94 for
Class C.
Principal Risk Factor(s): Exposure to financial and interest rate risks. High
yields reflect the higher credit risks associated with certain lower rated
securities in the Fund's portfolio and in some cases, the lower market prices
for those instruments. The fund may invest in mortgage related securities, which
may involve prepayment risk. Assets may also be invested in foreign securities.
International investing does pose special risks, including currency fluctuation
and political risks not found in investments that are solely domestic. Risks of
foreign investing are generally intensified for investments in emerging markets.
See accompanying index descriptions on page 14.
11
<PAGE>
------
Income
Funds
------
Portfolio
PILGRIM HIGH TOTAL RETURN FUND II Manager's Report
--------------------------------------------------------------------------------
Portfolio Management Team: Kevin Mathews, Senior Vice President & Senior
Portfolio Manager, Charles Ullerich, Vice President & Portfolio Manager
Goals: The High Total Return Fund II invests primarily in higher-yielding,
lower-rated bonds to achieve high current income with potential for capital
growth
Market Overview: In the six-month period ended April 30, 2000 security markets
experienced historical record high levels of price volatility. Huge valuations
placed on internet and communications issues in the form of excessive price
earnings ratios, had placed a premium on the market. Those premiums began to
correct to lower levels in the first quarter of 2000, as investors became
increasingly uneasy with the prospects for continued economic growth with low
inflation in the United States. This correction, magnified by the effects of
margin account buying, took no prisoners. Legendary names in the hedge fund
business closed up shop or significantly restructured operations as a result of
losses in leveraged stock bets.
Much of the source of the uncertainty in the market surrounds the Federal Open
Market Committee ("FOMC"). The FOMC, which has been raising short-term interest
rates since late 1998, continued tightening at a more aggressive rate in the
first four months of 2000. FOMC Governors are concerned about the rapid rate of
economic growth currently being experienced in the US, as well as the recent
increases in leading inflation indexes.
High yield bond investors similarly experienced rocky markets in the first four
months of 2000. High yield bond prices have trended downward for the last year
amid concerns about the economy and inflation. The high yield market has been
experiencing increased levels of defaults and decreased recovery rates from
those defaults. Concerns about corporate credit quality have caused spreads to
widen. The effect has been most pronounced in the high yield market, but all
levels of corporate bond credit quality have experienced wider spreads versus
treasuries. Until the market feels more reassured about the prospects for low
inflation and moderate economic growth, the high yield market will continue to
trade in a risk avoidance mode.
Performance: For the six month period ended April 30, 2000, the Fund's Class A
shares, excluding sales charges, declined 11.32% compared to the Lehman Brothers
High Yield Index which returned 0.08% for the same period.
Portfolio Specifics: The Fund experienced significant challenges over the last
six months as credit specific events required a reevaluation of several material
positions within the portfolio. For example, Intracel, a biotechnology firm, ran
low on cash, as investors became bearish on business prospects. Decora, a
consumer products company, suffered operational issues and also ran low on cash.
Comforce, a personnel outsourcing company, traded down as the industry went out
of favor with investors. The Fund's overweighting in the lowest tier of credit
quality also impacted performance. The Merrill Lynch Triple-C/Double-C/Single-C
Index for the six month period ended April 30, 2000 underperformed the Single-B
Index by 243 basis points.
The Fund continues to carry an overweighted position in the Communications
sector, including the wireless, wireline, and internet subsectors.
Acquisition/merger activity, within the communication and media sectors, helped
performance as bonds and equity were taken out at a premium. For example,
Globix, an internet infrastructure company, saw its stock rise significantly on
positive investor sentiment. Given the good news, we took the opportunity to
sell two-thirds of our Globix warrants. Globix currently trades significantly
below the prices at which we sold.
Management continues to hold an above average cash position in the 5 to 10%
range. The added liquidity allows us to be flexible and opportunistic. Average
credit quality was held at Single-B as our expectation of continued economic
growth with low inflation in the domestic economy was proven correct.
Market Outlook: By most conventional measures of high yield market valuation the
sector looks cheap. Spreads on most of the major high yield indexes have only
been wider in the recession of 1989-90. Default rates seem to be at or near
their peak and defaults tend to peak before recessions in the high yield market.
Mutual fund redemptions continue, but insurance company and pension fund buying
has been stepped up by managers who feel the market is cheap. What we have not
seen is a change in investor sentiment and a return of the high yield new issue
market.
Much depends on FOMC policy and valuations in the NASDAQ market. If the FOMC
continues to tighten, it will weigh heavily on the minds of investors. Without
the knowledge that Alan Greenspan and his fellow FOMC members are satisfied with
the economic and inflationary outlook investors will remain risk averse.
Valuations are
12
<PAGE>
Portfolio
Manager's Report PILGRIM HIGH TOTAL RETURN FUND II
--------------------------------------------------------------------------------
another key element in the equation. NASDAQ is heavily weighted with
telecommunications equity issues. Telecommunications bond issues make up between
30-40% of the total composition of the high yield market. Many high yield funds
have heavy weightings in the sector. With some internet and telecommunications
issues reaching earnings
multiples measured in the hundreds of times earnings, (for those that have
earnings), the ability of those companies to grow into those multiples remains
in question. Bonds appear more fairly valued, but regardless will trade in
sympathy with the equity markets.
Average Annual Total Returns for the
Periods Ended April 30, 2000
---------------------------------------
Since Inception
of Class A, B and C
1 Year 1/31/97
------ -------
Including Sales Charge:
Class A (1) -22.81% -2.81%
Class B (2) -23.35% -2.72%
Class C (3) -20.44% -2.04%
Excluding Sales Charge:
Class A -18.96% -1.34%
Class B -19.68% -2.03%
Class C -19.71% -2.04%
Lehman High Yield Bond Index -3.53% 4.10%
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim High Total Return Fund II against the Lehman Brothers High
Yield Bond Index. The Index has an inherent performance advantage over the Fund
since it has no cash in its portfolio, imposes no sales charges and incurs no
operating expenses. An investor cannot invest directly in an index. The Fund's
performance is shown both with and without the imposition of sales charges.
Performance data represents past performance and is no assurance of future
results. Investment return and principal value of an investment in the Fund will
fluctuate. Shares, when sold, may be worth more or less than their original
cost.
This report contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Reflects deduction of the maximum Class A sales charge of 4.75%.
(2) Reflects deduction of the Class B deferred sales charge of 5% and 3%,
respectively, for the 1 year and since inception returns.
(3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1
year return.
Principal Risk Factor(s): Exposure to financial and interest rate risks. High
yields reflect the higher credit risks associated with certain lower rated
securities in the Fund's portfolio and in some cases, the lower market prices
for those instruments. The Fund may invest in mortgage-related securities, which
may ential prepayment risk. Assets may also be invested in foreign securities.
International investing does pose special risks, including currency fluctuation
and political risks not found in investments that are solely domestic. Risks of
foreign investing are generally intensified for investments in emerging markets.
See accompanying index descriptions on page 14.
13
<PAGE>
-------
Pilgrim
Funds
-------
INDEX DESCRIPTIONS
--------------------------------------------------------------------------------
The S&P 500 Index is a widely recognized unmanaged index of 500 common stocks.
The Russell 2000 Index is an unmanaged index that measures the performance of
2000 small companies.
The S&P Barra Value Index is an unmanaged capitalization-weighted index of all
of the stocks in the S&P 500 that have low price-to-book ratios.
The S&P Barra Growth Index is an unmanaged capitalization-weighted index of all
of the stocks in the S&P 500 that have high price-to-book ratios.
The MSCI EAFE Index is an unmanaged index consisting of more than 1,400
securities in the U.S., Europe, Canada, Australia, New Zealand, and the Far
East. It is a generally accepted index for major overseas markets.
The MSCI Emerging Markets Free (EMF) Index is an unmanaged index comprised of
companies representative of the market structure of 22 emerging countries in
Europe, Latin America and the Pacific Rim Basin.
The Lehman Brothers High Yield Bond Index is an unmanaged index comprised of
non-investment grade bonds with maturities between seven to ten years.
The Merrill Lynch Triple-C/Double-C/Single-C Index, a sub-index of the Merrill
Lynch High Yield Index, is an unmanaged index which measures the performance of
non-investment grade U.S. domestic bonds.
The Merrill Lynch Single-B Index, a sub-index of the Merrill Lynch High Yield
Index, is an unmanaged index which measures the performance of non-investment
grade U.S. domestic bonds.
An investor cannot invest directly in an index.
14
<PAGE>
SHAREHOLDER MEETING
--------------------------------------------------------------------------------
A special meeting of shareholders of the Pilgrim Income & Growth Fund was held
in Phoenix, Arizona on March 24, 2000. A brief description of each matter voted
upon as well as the results are outlined below:
Shares
Shares voted against Shares
voted for or withheld abstained Total
--------- ----------- --------- -----
1. Agreement and Plan of Reorganization providing for the acquisition of all
of the assets and liabilities of Pilgrim Income & Growth Fund by Pilgrim
Balanced Fund.
5,115,195 60,104 363,424 5,538,723
2. To transact such other business as may properly come before the special
meeting of shareholders or any adjournments thereof:
5,072,708 37,589 428,426 5,538,723
15
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF ASSETS AND LIABILITIES as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim Pilgrim Research Pilgrim
Growth + Enhanced International
Value Fund Index Fund Value Fund
------------- ------------- --------------
<S> <C> <C> <C>
ASSETS:
Investments in securities, at market
value (cost $539,515,828, $234,023,174,
and $1,459,873,161, respectively) $ 744,294,570 $ 247,864,484 $1,533,770,976
Repurchase agreements 53,371,000 4,151,000 65,313,000
Cash 200 2,945 922
Foreign cash, at value (cost $0, $0, and
$496,535, respectively) -- -- 326,539
Receivable for investments sold 24,237,268 936,281 --
Receivable for shares of beneficial
interest sold 5,879,811 1,913,674 16,235,455
Dividends and interest receivable 25,262 229,107 9,976,743
Prepaid expenses 35,985 12,541 71,070
------------- ------------- --------------
Total Assets 827,844,096 255,110,032 1,625,694,705
------------- ------------- --------------
LIABILITIES:
Payable for investments purchased 14,012,808 908,614 45,593,256
Investment advisory fee payable 606,618 146,497 1,281,411
Payable for shares of beneficial
interest reacquired 1,884,703 1,699,424 15,198,059
Distribution fees payable 514,531 167,184 881,913
Administrative service fees payable 49,649 13,449 108,117
Transfer agent fees payable 181,438 42,031 260,028
Payable for future variation margin -- 23,725 --
Accrued expenses 81,437 172,664 520,036
------------- ------------- --------------
Total Liabilities 17,331,184 3,173,588 63,842,820
------------- ------------- --------------
NET ASSETS $ 810,512,912 $ 251,936,444 $1,561,851,885
============= ============= ==============
NET ASSETS CONSIST OF:
Paid in capital for shares of beneficial
interest, $0.01 par value outstanding
(unlimited shares authorized) $ 508,443,973 $ 236,397,021 $1,329,731,888
Undistributed (overdistributed) net
investment income (5,530,093) (540,494) 3,176,997
Accumulated net realized gain on investments,
foreign currency and futures contracts 102,820,290 2,122,624 155,215,181
Net unrealized appreciation of investments,
foreign currency and futures contracts 204,778,742 13,957,293 73,727,819
------------- ------------- --------------
Net Assets $ 810,512,912 $ 251,936,444 $1,561,851,885
============= ============= ==============
</TABLE>
See Accompanying Notes to Financial Statements
16
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF ASSETS AND LIABILITIES as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim Pilgrim Research Pilgrim
Growth + Enhanced International
Value Fund Index Fund Value Fund
---------- ---------- ----------
<S> <C> <C> <C>
Class A:
Net Assets $179,314,726 $ 28,344,606 $683,359,075
Shares outstanding 6,682,585 2,456,443 43,230,595
Net asset value and redemption value per
share (net assets/shares outstanding) $ 26.83 $ 11.54 $ 15.81
Maximum offering price per share (net
asset value plus sales charge of 5.75%
of offering price) $ 28.47 $ 12.24 $ 16.77
Class B
Net Assets $415,364,434 $102,836,594 $381,398,569
Shares outstanding 15,898,037 8,983,456 24,407,682
Net asset value and offering price per
share(1) (net assets/shares outstanding) $ 26.13 $ 11.45 $ 15.63
Class C:
Net Assets $215,833,752 $ 91,265,018 $482,686,165
Shares outstanding 8,265,119 7,969,681 30,933,465
Net asset value and offering price per
share(1) (net assets/shares outstanding) $ 26.11 $ 11.45 $ 15.60
Class I:
Net Assets N/A $ 29,362,305 N/A
Shares outstanding N/A 2,531,789 N/A
Net asset value, offering price and
redemption price per share (net
assets/shares outstanding) N/A $ 11.60 N/A
Class Q:
Net Assets $ -- $ 127,921 $ 14,408,076
Shares outstanding -- 11,082 911,968
Net asset value, offering price and
redemption price per share (net
assets/shares outstanding) N/A $ 11.54 $ 15.80
</TABLE>
(1) Redemption price per share varies with length of time Class B and C shares
are held.
See Accompanying Notes to Financial Statements
17
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF ASSETS AND LIABILITIES as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim Emerging Pilgrim Pilgrim
Markets High Total High Total
Value Fund Return Fund Return Fund II
----------- ------------- --------------
<S> <C> <C> <C>
ASSETS:
Investments in securities, at value (cost
$15,660,448 and $329,479,055, $118,920,975,
respectively) $16,072,816 $ 210,714,404 $ 85,305,776
Repurchase agreements -- 17,049,000 4,062,000
Cash 98,108 300 100
Foreign cash, at value (cost $61,262, $0,
and $0, respectively) 61,015 -- --
Receivable for shares of beneficial
interest sold 69,716 1,000,705 50
Receivable for investments sold -- 7,366,349 5,142,086
Dividends and interest receivable 159,217 9,567,646 3,257,846
Prepaid expenses 11,815 19,225 12,659
Other assets 55,700 -- --
----------- ------------- -------------
Total Assets 16,528,387 245,717,629 97,780,517
----------- ------------- -------------
LIABILITIES:
Payable for investments purchased -- 7,584,272 4,391,548
Investment advisory fee payable 14,477 150,370 58,717
Payable for shares of beneficial
interest reacquired 124,629 1,261,560 638,998
Distribution fees payable 9,889 169,030 53,673
Administrative service fees payable 976 7,908 693
Transfer agent fee payable 727 38,289 8,441
Accrued expenses 32,873 94,373 46,696
----------- ------------- -------------
Total Liabilities 183,571 9,305,802 5,198,766
----------- ------------- -------------
NET ASSETS $16,344,816 $ 236,411,827 $ 92,581,751
=========== ============= =============
NET ASSETS CONSIST OF:
Paid in capital for shares of beneficial
interest, $0.01 par value outstanding
(unlimited shares authorized) $13,309,077 $ 507,822,254 $ 183,253,721
Undistributed (overdistributed) net
investment income 104,391 (534,409) 512,265
Accumulated net realized gain (loss) on
investments and foreign currency 2,519,227 (152,068,104) (57,553,084)
Net unrealized appreciation (depreciation)
of investments and foreign currency 412,121 (118,807,914) (33,631,151)
----------- ------------- -------------
Net Assets $16,344,816 $ 236,411,827 $ 92,581,751
=========== ============= =============
</TABLE>
See Accompanying Notes to Financial Statements
18
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF ASSETS AND LIABILITIES as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim Emerging Pilgrim Pilgrim
Markets High Total High Total
Value Fund Return Fund Return Fund II
---------- ----------- --------------
<S> <C> <C> <C>
Class A:
Net Assets $7,180,992 $ 53,897,013 $11,826,664
Shares outstanding 669,288 18,718,511 3,350,864
Net asset value and redemption value
per share (net assets/shares outstanding) $ 10.73 $ 2.88 $ 3.53
Maximum offering price per share (net
asset value plus sales charge of 5.75%,
4.75% and 4.75%, respectively of offering
price) $ 11.38 $ 3.02 $ 3.71
Class B:
Net Assets $4,426,381 $162,048,321 $66,347,742
Shares outstanding 414,845 56,378,897 18,799,842
Net asset value and offering price per
share(1) (net assets/shares outstanding) $ 10.67 $ 2.87 $ 3.53
Class C:
Net Assets $4,737,443 $ 20,466,493 $14,407,345
Shares outstanding 445,867 7,080,885 4,077,763
Net asset value and offering price per
share(1)(net assets/shares outstanding) $ 10.63 $ 2.89 $ 3.53
</TABLE>
(1) Redemption price per share varies with length of time Class B and C shares
are held.
See Accompanying Notes to Financial Statements
19
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF OPERATIONS for the six months ended April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim Pilgrim Research Pilgrim
Growth + Enhanced International
Value Fund Index Fund Value Fund
------------- ------------ -------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends, (net of withholding tax of
$0, $0, and $1,839,639 respectively) $ 122,359 $ 1,627,546 $ 16,815,825
Interest 991,286 151,538 1,793,576
Other -- -- 1,229
------------- ------------ -------------
Total investment income 1,113,645 1,779,084 18,610,630
------------- ------------ -------------
EXPENSES:
Investment advisory fees 3,130,253 874,925 6,779,707
Distribution fees:
Class A 198,765 44,609 892,818
Class B 1,709,736 524,000 1,724,063
Class C 757,966 433,569 2,045,903
Class Q -- 18 10,105
Transfer agent fees and expenses 313,025 114,934 677,970
Administrative service fees 313,025 124,989 677,971
Accounting and custodian fees 93,908 106,241 576,275
Printing and postage 37,302 12,499 67,797
Registration fees 32,556 50,621 155,091
Professional fees 31,463 19,910 62,439
Trustee fees 12,460 5,460 36,460
Miscellaneous 13,279 7,803 33,538
------------- ------------ -------------
Total expenses 6,643,738 2,319,578 13,740,137
------------- ------------ -------------
Net investment income (loss) (5,530,093) (540,494) 4,870,493
------------- ------------ -------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments and options 102,954,408 2,706,368 155,583,743
Net realized loss on foreign currency -- -- (470,449)
Net change in unrealized appreciation
(depreciation) of investments, foreign
currency, futures and options 108,784,669 8,512,632 (30,562,001)
------------- ------------ -------------
Net realized and unrealized gain from
investments, foreign currency, futures
and options 211,739,077 11,219,000 124,551,293
------------- ------------ -------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 206,208,984 $ 10,678,506 $ 129,421,786
============= ============ =============
</TABLE>
See Accompanying Notes to Financial Statements
20
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF OPERATIONS for the six months ended April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim Emerging Pilgrim Pilgrim
Markets High Total High Total
Value Fund Return Fund Return Fund II
---------- ----------- --------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of withholding tax of
$27,846, $0, and $0 respectively) $ 363,333 $ 2,550,285 $ 409,105
Interest 12,434 14,538,618 6,825,068
Other -- 1,717,839 417,526
----------- ------------ ------------
Total investment income 375,767 18,806,742 7,651,699
----------- ------------ ------------
EXPENSES:
Investment advisory fees 107,472 1,081,164 447,728
Distribution fees:
Class A 15,131 97,865 22,387
Class B 22,143 996,829 425,164
Class C 34,893 133,005 97,184
Transfer agent fees and expenses 10,747 145,605 59,697
Administrative service fees 10,747 145,605 59,697
Accounting and custodian fees 11,135 50,962 20,894
Printing and postage 1,075 14,561 5,970
Registration fees 17,416 42,867 30,221
Professional fees 11,850 76,115 31,920
Trustee fees 5,460 6,960 5,460
Miscellaneous 1,634 78,045 28,477
----------- ------------ ------------
Total expenses 249,703 2,869,583 1,234,799
----------- ------------ ------------
Net investment income 126,064 15,937,159 6,416,900
----------- ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain (loss) on investments 2,645,965 (45,872,469) (25,417,926)
Net realized loss on foreign currency (126,789) (287,033) (113,128)
Net change in unrealized appreciation
(depreciation) of investments and
foreign currency (1,334,958) 40,341 1,803,642
----------- ------------ ------------
Net realized and unrealized gain (loss)
on investments and foreign currency 1,184,218 (46,119,161) (23,727,412)
----------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 1,310,282 $(30,182,002) $(17,310,512)
=========== ============ ============
</TABLE>
See Accompanying Notes to Financial Statements
21
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim Growth + Value Fund Pilgrim Research Enhanced Index Fund
---------------------------------- -------------------------------------------
For the six months Year Ended For the six months For the period
ended April 30, 2000 Otober 31, ended April 30, 2000 December 30, 1998(1)
(Unaudited) 1999 (Unaudited) to October 31, 1999
------------- ------------- ------------- -------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment loss $ (5,530,093) $ (5,045,729) $ (540,494) $ (160,475)
Net realized gain on investments
and options 102,954,408 83,963,594 2,706,368 2,844,931
Net change in unrealized appreciation
of investments, futures and options 108,784,669 83,444,021 8,512,632 5,444,661
------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations 206,208,984 162,361,886 10,678,506 8,129,117
------------- ------------- ------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A -- -- -- --
Class B -- -- -- --
Class C -- -- -- --
Net realized gain from investments (52,769,105) -- (3,268,200) --
------------- ------------- ------------- -------------
Total distributions (52,769,105) -- (3,268,200) --
------------- ------------- ------------- -------------
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 346,093,599 215,319,842 53,741,337 231,460,935
Net asset value of shares resulting from
dividend reinvestment 32,070,911 -- 1,891,832 --
------------- ------------- ------------- -------------
378,164,510 215,319,842 55,633,169 231,460,935
Cost of shares redeemed (113,933,833) (161,711,440) (41,313,688) (9,383,395)
------------- ------------- ------------- -------------
Net increase in net assets resulting
from capital share transactions 264,230,677 53,608,402 14,319,481 222,077,540
------------- ------------- ------------- -------------
Net increase in net assets 417,670,556 215,970,288 21,729,787 230,206,657
NET ASSETS:
Beginning of year 392,842,356 176,872,068 230,206,657 --
------------- ------------- ------------- -------------
End of year $ 810,512,912 $ 392,842,356 $ 251,936,444 $ 230,206,657
============= ============= ============= =============
Overdistributed net investment income $ (5,530,093) -- $ (540,494) --
============= ============= ============= =============
</TABLE>
(1) Commencement of operations.
See Accompanying Notes to Financial Statements
22
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim International Value Fund
-----------------------------------------
For the six months Year Ended
ended April 30, 2000 October 31,
(Unaudited) 1999
--------------- ---------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income $ 4,870,493 $ 3,580,736
Net realized gain on investments 155,583,743 49,724,160
Net realized gain (loss) on foreign currency (470,449) 3,476,523
Net change in unrealized appreciation (depreciation)
of investments and foreign currency (30,562,001) 128,073,707
--------------- ---------------
Net increase in net assets resulting from operations 129,421,786 184,855,126
--------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A (3,809,622) (2,447,955)
Class B (593,914) (638,225)
Class C (828,109) (652,956)
Net realized gain from investments (53,012,740) (28,295,922)
--------------- ---------------
Total distributions (58,244,385) (32,035,058)
--------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 920,654,014 765,122,980
Net asset value of shares resulting from
dividend reinvestment 44,145,054 25,417,235
--------------- ---------------
964,799,068 790,540,215
Cost of shares redeemed (515,037,681) (397,092,669)
--------------- ---------------
Net increase in net assets resulting from
capital share transactions 449,761,387 393,447,546
--------------- ---------------
Net increase in net assets 520,938,788 546,267,614
NET ASSETS:
Beginning of year 1,040,913,097 494,645,483
--------------- ---------------
End of year $ 1,561,851,885 $ 1,040,913,097
=============== ===============
Undistributed net investment income $ 3,176,997 $ 3,538,149
=============== ===============
</TABLE>
See Accompanying Notes to Financial Statements
23
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim Emerging Markets Value Fund Pilgrim High Total Return Fund
----------------------------------- -----------------------------------
For the six months Year Ended For the six months Year Ended
ended April 30, 2000 October 31, ended April 30, 2000 October 31,
(Unaudited) 1999 (Unaudited) 1999
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 126,064 $ 142,115 $ 15,937,159 $ 56,920,134
Net realized gain (loss) on investments 2,645,965 926,219 (45,872,469) (98,451,507)
Net realized gain (loss) on foreign currency (126,789) (9,987) (287,033) 12,477
Net change in unrealized appreciation
(depreciation) of investments and foreign
currency (1,334,958) 3,931,451 40,341 41,058,535
------------ ------------ ------------- -------------
Net increase (decrease) in net assets
resulting from operations 1,310,282 4,989,798 (30,182,002) (460,361)
------------ ------------ ------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A (98,414) (68,673) (3,326,318) (14,655,522)
Class B (13,808) (40,034) (9,634,424) (39,701,333)
Class C (33,528) (39,146) (1,265,481) (6,029,049)
Return of Capital
Class A -- -- -- (1,294,305)
Class B -- -- -- (3,506,231)
Class C -- -- -- (532,457)
Net realized gain from investments (803,574) -- -- --
------------ ------------ ------------- -------------
Total distributions (949,324) (147,853) (14,226,223) (65,718,897)
------------ ------------ ------------- -------------
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 2,653,623 10,710,032 12,794,703 100,856,295
Net asset value of shares resulting from
dividend reinvestment 775,210 101,215 4,123,469 21,713,962
------------ ------------ ------------- -------------
3,428,833 10,811,247 16,918,172 122,570,257
Cost of shares redeemed (7,223,233) (5,576,842) (149,004,241) (285,177,676)
------------ ------------ ------------- -------------
Net increase (decrease) in net assets
derived from capital share transactions (3,794,400) 5,234,405 (132,086,069) (162,607,419)
------------ ------------ ------------- -------------
Net increase (decrease) in net assets (3,433,442) 10,076,350 (176,494,294) (228,786,677)
NET ASSETS:
Beginning of year 19,778,258 9,701,908 412,906,121 641,692,798
------------ ------------ ------------- -------------
End of year $ 16,344,816 $ 19,778,258 $ 236,411,827 $ 412,906,121
============ ============ ============= =============
Undistributed (overdistributed) net
investment income $ 104,391 $ 124,077 $ (534,409) $ (2,245,345)
============ ============ ============= =============
</TABLE>
See Accompanying Notes to Financial Statements
24
<PAGE>
-------
Pilgrim
Funds
-------
STATEMENTS OF CHANGES IN NET ASSETS (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pilgrim High Total Return Fund II
--------------------------------------
For the six months Year Ended
ended April 30, 2000 October 31,
(Unaudited) 1999
------------- -------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income $ 6,416,900 $ 21,989,470
Net realized loss on investments (25,417,926) (32,191,393)
Net realized gain (loss) on foreign currency (113,128) 123,782
Net change in unrealized appreciation of investments
and foreign currency 1,803,642 5,135,407
------------- -------------
Net decrease in net assets resulting from operations (17,310,512) (4,942,734)
------------- -------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A (725,344) (3,313,676)
Class B (3,840,646) (14,809,329)
Class C (867,398) (4,292,131)
Return of Capital
Class A -- (217,482)
Class B -- (971,960)
Class C -- (281,699)
Net realized gain from investments -- --
------------- -------------
Total distributions (5,433,388) (23,886,277)
------------- -------------
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 4,169,886 55,051,024
Net asset value of shares resulting from
dividend reinvestment 1,477,484 6,839,575
------------- -------------
5,647,370 61,890,599
Cost of shares redeemed (67,135,200) (119,733,819)
------------- -------------
Net decrease in net assets derived from capital
share transactions (61,487,830) (57,843,220)
------------- -------------
Net decrease in net assets (84,231,730) (86,672,231)
NET ASSETS:
Beginning of year 176,813,481 263,485,712
------------- -------------
End of year $ 92,581,751 $ 176,813,481
============= =============
Undistributed (overdistributed) net investment
income $ 512,265 $ (471,247)
============= =============
</TABLE>
See Accompanying Notes to Financial Statements
25
<PAGE>
Financial
PILGRIM GROWTH + VALUE FUND (UNAUDITED) Highlights
--------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
----------------------------------------------------
For the six months Year ended October 31,
ended April 30, 2000 -----------------------------
(Unaudited) 1999 1998 1997(1)
-------------------- ------ ------ -------
<S> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of the period $ 19.76 10.44 12.15 10.00
Net investment loss $ (0.12) (0.17) (0.11) (0.05)
Net realized and unrealized gain (loss)
on investments $ 9.65 9.49 (1.42) 2.20
Total from investment operations $ 9.53 9.32 (1.53) 2.15
Distributions from net realized gain $ (2.46) -- (0.18) --
Total distributions $ (2.46) -- (0.18) --
Net asset value, end of the period $ 26.83 19.76 10.44 12.15
Total return(2) % 51.04 89.27 (12.63) 21.50
Ratios and supplemental data:
Net assets, end of the period (000's) $ 179,315 81,225 33,425 34,346
Ratio of expenses to average net assets
after reimbursement(4) % 1.57 1.69 1.72 1.84
Ratio of expenses to average net assets
prior to expense reimbursement % 1.57 1.69 1.72 1.86
Ratio of net investment loss to average
net assets % (1.22)(3) (1.30) (0.92) (0.94)(3)
Portfolio turnover % 77 197 162 144
Class B
---------------------------------------------------
For the six months Year ended October 31,
ended April 30, 2000 ----------------------------
(Unaudited) 1999 1998 1997(1)
-------------------- ------ ------- -------
Operating performance:
Net asset value, beginning of the period 19.34 10.29 12.08 10.00
Net investment loss (0.21) (0.27) (0.16) (0.08)
Net realized and unrealized gain (loss)
on investments 9.46 9.32 (1.45) 2.16
Total from investment operations 9.25 9.05 (1.61) 2.08
Distributions from net realized gain (2.46) -- (0.18) --
Total distributions (2.46) -- (0.18) --
Net asset value, end of the period 26.13 19.34 10.29 12.08
Total return(2) 50.62 87.95 (13.38) 20.80
Ratios and supplemental data:
Net assets, end of the period (000's) 415,364 227,227 105,991 76,608
Ratio of expenses to average net assets
after reimbursement(4) 2.27 2.39 2.45 2.55
Ratio of expenses to average net assets
prior to expense reimbursement 2.27 2.39 2.45 2.57
Ratio of net investment loss to average
net assets (1.92)(3) (2.00) (1.67) (1.68)(3)
Portfolio turnover 77 197 162 144
Class C
----------------------------------------------------
For the six months Year ended October 31,
ended April 30, 2000 -----------------------------
(Unaudited) 1999 1998 1997(1)
-------------------- ------- ------ -------
Operating performance:
Net asset value, beginning of the period $ 19.33 10.29 12.08 10.00
Net investment loss $ (0.18) (0.26) (0.16) (0.08)
Net realized and unrealized gain (loss)
on investments $ 9.42 9.30 (1.45) 2.16
Total from investment operations $ 9.24 9.04 (1.61) 2.08
Distributions from net realized gain $ (2.46) -- (0.18) --
Total distributions $ (2.46) -- (0.18) --
Net asset value, end of the period $ 26.11 19.33 10.29 12.08
Total return(2) % 50.65 87.85 (13.38) 20.80
Ratios and supplemental data:
Net assets, end of the period (000's) $ 215,834 84,391 37,456 26,962
Ratio of expenses to average net assets
after reimbursement(4) % 2.27 2.40 2.46 2.56
Ratio of expenses to average net assets
prior to expense reimbursement % 2.27 2.40 2.46 2.58
Ratio of net investment loss to average
net assets % (1.92)(3) (2.01) (1.69) (1.70)(3)
Portfolio turnover % 77 197 162 144
</TABLE>
(1) Class A, B and C commenced operations on November 18, 1996.
(2) Assumes dividends have been reinvested and does not reflect the effect of
sales charges.
(3) Annualized.
(4) Expenses calculated net of taxes and advisor reimbursement.
See Accompanying Notes to Financial Statements
26
<PAGE>
Financial
Highlights PILGRIM RESEARCH ENHANCED INDEX FUND (UNAUDITED)
--------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A Class B
----------------------- -----------------------
For the six For the six
months ended Period months ended Period
April 30, ended April 30, ended
2000 Oct. 31, 2000 Oct. 31,
(Unaudited) 1999(1) (Unaudited) 1999(1)
------------ ------- ------------ -------
<S> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of the period $ 11.14 10.00 11.09 10.00
Net investment income (loss) $ -- 0.01 (0.04) (0.02)
Net realized and unrealized gain on
investments $ 0.55 1.13 0.55 1.11
Total from investment operations $ 0.55 1.14 0.51 1.09
Distributions from net realized gain $ (0.15) -- (0.15) --
Total distributions $ (0.15) -- (0.15) --
Net asset value, end of the period $ 11.54 11.14 11.45 11.09
Total return(2) % 4.91 11.40 4.57 10.90
Ratios and supplemental data:
Net assets, end of the period (000's) $ 28,345 27,091 102,837 99,249
Ratio of expenses to average net assets
after reimbursement(4) % 1.36 1.29 2.06 1.99
Ratio of expenses to average net assets
prior to expense reimbursement % 1.36 1.56 2.06 2.29
Ratio of net investment income (loss) to
average net assets % 0.06 0.23 (0.64) (0.49)
Portfolio turnover % 27 26 27 26
Class C Class I
-------------------------- -----------------------
For the six For the six
months ended Period months ended Period
April 30, ended April 30, ended
2000 Oct. 31, 2000 Oct. 31,
(Unaudited) 1999(1) (Unaudited) 1999(1)
------------ ------- ------------ -------
Operating performance:
Net asset value, beginning of the period 11.09 10.00 11.17 10.00
Net investment income (loss) (0.03) (0.02) 0.02 0.06
Net realized and unrealized gain on
investments 0.54 1.11 0.56 1.11
Total from investment operations 0.51 1.09 0.58 1.17
Distributions from net realized gain (0.15) -- (0.15) --
Total distributions (0.15) -- (0.15) --
Net asset value, end of the period 11.45 11.09 11.60 11.17
Total return(2) 4.57 10.90 5.17 11.70
Ratios and supplemental data:
Net assets, end of the period (000's) 91,265 75,941 29,362 27,927
Ratio of expenses to average net assets
after reimbursement(4) 2.06 1.99 1.06 0.98
Ratio of expenses to average net assets
prior to expense reimbursement 2.06 2.27 1.06 1.23
Ratio of net investment income (loss) to
average net assets (0.64)(3) (0.49)(3) 0.42 0.62
Portfolio turnover 27 26 27 26
</TABLE>
(1) Class A, B, C and I commenced operations on December 30, 1998.
(2) Assumes dividends have been reinvested and does not reflect the effect of
sales charges.
(3) Annualized.
(4) Expenses calculated net of taxes and advisor reimbursement.
See Accompanying Notes to Financial Statements
27
<PAGE>
Financial
PILGRIM INTERNATIONAL VALUE FUND (UNAUDITED) Highlights
--------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
-------------------------------------------------------------------
For the six
months ended Year ended October 31,
April 30, 2000 -------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995(1)
-------------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of the
period $ 14.75 11.88 10.90 9.05 8.10 7.64
Net investment income (loss) $ 0.07 0.08 0.11 (0.09) 0.14 0.09
Net realized and unrealized gain on
investments $ 1.79 3.58 0.96 2.30 0.85 0.37
Total from investment operations $ 1.86 3.66 1.07 2.21 0.99 0.46
Dividends from net investment
income $ (0.11) (0.12) -- (0.14) (0.04) --
Distributions from net realized gain $ (0.69) (0.67) (0.09) (0.22) -- --
Total distributions $ (0.80) (0.79) (0.09) (0.36) (0.04) --
Net asset value, end of the period $ 15.81 14.75 11.88 10.90 9.05 8.10
Total return(2) % 12.37 32.55 9.86 27.59 12.15 9.39
Ratios and supplemental data:
Net assets, end of the period (000's) $ 683,359 451,815 211,018 60,539 16,777 5,188
Ratio of expenses to average net
assets after reimbursement (4) % 1.63 1.68 1.74 1.80 1.85 1.85
Ratio of expenses to average net
assets prior to expense
reimbursement % 1.63 1.68 1.74 2.07 2.82 7.93
Ratio of net investment income
(loss) to average net assets % 1.08 0.92 1.62 0.46 1.52 1.67
Portfolio turnover % 20 29 32 26 74 --
Class B
-----------------------------------------------
For the six
months ended Year ended October 31,
April 30, 2000 ------------------------------
(Unaudited) 1999 1998 1997(1)
-------------- ------- ------- -------
<S> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of the
period 14.57 11.76 10.87 10.00
Net investment income (loss) 0.03 0.01 0.07 (0.02)
Net realized and unrealized gain on
investments 1.75 3.51 0.91 0.89
Total from investment operations 1.78 3.52 0.98 0.81
Dividends from net investment
income (0.03) (0.04) -- --
Distributions from net realized gain (0.69) (0.67) (0.09) --
Total distributions (0.72) (0.71) (0.09) --
Net asset value, end of the period 15.63 14.57 11.76 10.87
Total return(2) 11.96 31.55 9.16 8.70
Ratios and supplemental data:
Net assets, end of the period (000's) 381,399 278,871 145,976 59,185
Ratio of expenses to average net
assets after reimbursement (4) 2.33 2.41 2.47 2.50
Ratio of expenses to average net
assets prior to expense
reimbursement 2.33 2.41 2.47 2.58
Ratio of net investment income
(loss) to average net assets 0.38 0.18 0.69 (0.71)(3)
Portfolio turnover 20 29 32 26
Class C
------------------------------------------------------------------
For the six
months ended Year ended October 31,
April 30, 2000 --------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995(1)
-------------- -------- -------- -------- ------- -------
Operating performance:
Net asset value,
beginning of the period $ 14.55 11.75 10.86 8.43 8.05 7.61
Net investment (income loss) $ 0.04 -- 0.06 (0.06) 0.05 0.06
Net realized and unrealized gain on
investments $ 1.74 3.51 0.92 2.20 0.86 0.38
Total from investment operations $ 1.78 3.51 0.98 2.14 0.91 0.44
Dividends from net investment
income $ (0.04) (0.04) -- (0.04) (0.03) --
Distributions from net realized gain $ (0.69) (0.67) (0.09) (0.17) (0.03) --
Total distributions $ (0.73) (0.71) (0.09) (0.21) -- --
Net asset value, end of the period $ 15.60 14.55 11.75 10.86 8.93 8.05
Total return(2) % 11.95 31.50 9.07 25.92 11.39 8.89
Ratios and supplemental data:
Net assets, end of the period (000's) $ 482,686 310,227 137,651 62,103 14,530 5,749
Ratio of expenses to average net
assets after reimbursement (4) % 2.33 (3) 2.41 2.47 2.50 2.50 2.50 (3)
Ratio of expenses to average net
assets prior to expense
reimbursement % 2.33 (3) 2.41 2.47 2.74 3.71 8.58 (3)
Ratio of net investment income (loss)
to average net assets % 0.42 (3) 0.19 0.68 (0.23) 0.62 1.13 (3)
Portfolio turnover % 20 29 32 26 74 --
</TABLE>
(1) Classes A and C commenced operations on March 6, 1995, and Class B
commenced operations on April 17, 1997.
(2) Assumes dividends have been reinvested and does not reflect the effect of
sales charges.
(3) Annualized.
(4) Expenses calculated net of taxes and advisor reimbursement
See Accompanying Notes to Financial Statements
28
<PAGE>
Financial
Highlights PILGRIM EMERGING MARKETS VALUE FUND (UNAUDITED)
--------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A Class B
----------------------------------- ----------------------------------
For the six For the six
months ended Year ended Oct. 31, months ended Year ended Oct. 31,
April 30, 2000 ------------------ April 30, 2000 ------------------
(Unaudited) 1999 1998(1) (Unaudited) 1999 1998(1)
-------------- ------ ------- -------------- ------ -------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of the period $ 10.68 7.69 10.00 10.60 7.65 10.00
Net investment income $ 0.10 0.12 0.12 0.05 0.08 0.09
Net realized and unrealized gain (loss)
on investments $ 0.50 3.01 (2.43) 0.50 2.97 (2.44)
Total from investment operations $ 0.60 3.13 (2.31) 0.55 3.05 (2.35)
Dividends from net investment income $ (0.11) (0.14) -- (0.04) (0.10) --
Distributions from net realized gain $ (0.44) -- -- (0.44) -- --
Total distributions $ (0.55) (0.14) -- (0.48) (0.10) --
Net asset value, end of the period $ 10.73 10.68 7.69 10.67 10.60 7.65
Total return(2) % 5.11 41.48 (23.10) 4.69 40.41 (23.50)
Ratios and supplemental data:
Net assets, end of the period (000's) $ 7,181 9,281 3,815 4,426 3,823 3,583
Ratio of expenses to average net assets
after reimbursement(4) % 1.95 2.06 1.80 2.65 2.70 2.50
Ratio of expenses to average net assets
prior to expense reimbursement % 1.95 2.21 3.88 2.65 2.93 4.74
Ratio of net investment income to
average net assets % 1.52 1.36 3.38 0.82 0.67 2.55
Portfolio turnover % 20 38 7 20 38 7
Class C
-----------------------------------
For the six
months ended Year ended Oct. 31,
April 30, 2000 ------------------
(Unaudited) 1999 1998(1)
-------------- ------ -------
Operating performance:
Net asset value, beginning of the period 10.56 7.63 10.00
Net investment income 0.05 0.04 0.09
Net realized and unrealized gain (loss)
on investments 0.51 3.00 (2.46)
Total from investment operations 0.56 3.04 (2.37)
Dividends from net investment income (0.05) (0.11) --
Distributions from net realized gain (0.44) -- --
Total distributions (0.49) (0.11) --
Net asset value, end of the period 10.63 10.56 7.63
Total return(2) 4.85 40.49 (23.70)
Ratios and supplemental data:
Net assets, end of the period (000's) 4,738 6,674 2,304
Ratio of expenses to average net assets
after reimbursement(4) 2.65 (3) 2.75 2.50 (3)
Ratio of expenses to average net assets
prior to expense reimbursement 2.65 (3) 2.91 4.87 (3)
Ratio of net investment income to
average net assets 0.82 (3) 0.61 2.68 (3)
Portfolio turnover 20 38 7
</TABLE>
(1) Class A, B and C commenced operations on January 1, 1998.
(2) Assumes dividends have been reinvested and does not reflect the effect of
sales charges.
(3) Annualized.
(4) Expenses calculated net of taxes and advisor reimbursement.
See Accompanying Notes to Financial Statements
29
<PAGE>
Financial
PILGRIM HIGH TOTAL RETURN FUND (UNAUDITED) Highlights
--------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
------------------------------------------------------------------
For the
six months
ended Year ended October 31,
April 30, 2000 -------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995
-------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of the
period $ 3.29 3.77 5.00 4.78 4.48 4.41
Net investment income $ 0.21 0.37 0.46 0.48 0.46 0.48
Net realized and unrealized gain
(loss) on investments $ (0.43) (0.41) (1.07) 0.20 0.32 0.07
Total from investment operations $ (0.22) (0.04) (0.61) 0.68 0.78 0.55
Dividends from net investment
income $ (0.19) (0.39) (0.47) (0.46) (0.48) (0.48)
Distributions from net realized gain -- -- (0.15) -- -- --
Distributions from capital $ -- (0.05) -- -- -- --
Total distributions $ (0.19) (0.44) (0.62) (0.46) (0.48) (0.48)
Net asset value, end of the period $ 2.88 3.29 3.77 5.00 4.78 4.48
Total return(1) % (7.82) (1.86) (13.65) 15.03 18.14 13.02
Ratios and supplemental data:
Net assets, end of the period (000's) $ 53,897 91,991 148,650 215,361 167,698 88,552
Ratio of expenses to average net assets % 1.43 (2) 1.34 1.30 1.42 1.52 1.55
Ratio of net investment income to
average net assets % 11.45 (2) 10.16 9.93 9.88 9.86 10.90
Portfolio turnover % 68 59 123 183 158 145
Class B
------------------------------------------------------------------
For the
six months
ended Year ended October 31,
April 30, 2000 -------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995
-------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of the
period 3.29 3.77 5.00 4.77 4.47 4.41
Net investment income 0.20 0.34 0.43 0.44 0.43 0.45
Net realized and unrealized gain
(loss) on investments (0.44) (0.41) (1.07) 0.22 0.32 0.06
Total from investment operations (0.24) (0.07) (0.64) 0.66 0.75 0.51
Dividends from net investment
income (0.18) (0.37) (0.44) (0.43) (0.45) (0.45)
Distributions from net realized gain -- -- (0.15) -- -- --
Distributions from capital -- (0.04) -- -- -- --
Total distributions (0.18) (0.41) (0.59) (0.43) (0.45) (0.45)
Net asset value, end of the period 2.87 3.29 3.77 5.00 4.77 4.47
Total return(1) (8.41) (2.56) (14.28) 14.46 17.08 11.97
Ratios and supplemental data:
Net assets, end of the period (000's) 162,048 280,413 428,903 577,351 346,919 96,362
Ratio of expenses to average net assets 2.13 2.06 2.02 2.12 2.23 2.25
Ratio of net investment income to
average net assets 10.75 9.42 9.20 9.18 9.14 10.20
Portfolio turnover 68 59 123 183 158 145
Class C
------------------------------------------------------------------
For the
six months
ended Year ended October 31,
April 30, 2000 -------------------------------------------------
(Unaudited) 1999 1998 1997 1996 1995
-------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of the
period $ 3.31 3.78 5.02 4.79 4.49 4.41
Net investment income $ 0.19 0.34 0.43 0.44 0.43 0.44
Net realized and unrealized gain
(loss) on investments $ (0.44) (0.40) (1.08) 0.22 0.32 0.09
Total from investment operations $ (0.25) (0.06) (0.65) 0.66 0.75 0.53
Dividends from net investment in-
come $ (0.17) (0.37) (0.44) (0.43) (0.45) (0.45)
Distributions from net realized gain -- -- (0.15) -- -- --
Distributions from capital $ -- (0.04) -- -- -- --
Total distributions (0.17) (0.41) (0.59) (0.43) (0.45) (0.45)
Net asset value, end of the period $ 2.89 3.31 3.78 5.02 4.79 4.49
Total return(1) $ (8.38) (2.24) (14.41) 14.42 17.28 12.44
Ratios and supplemental data:
Net assets, end of the period (000's) $ 20,467 40,503 64,141 97,457 54,382 11,011
Ratio of expenses to average net assets $ 2.13 2.07 2.03 2.13 2.23 2.27
Ratio of net investment income to
average net assets % 10.75 9.42 9.19 9.18 9.14 10.18
Portfolio turnover % 68 59 123 183 158 145
</TABLE>
(1) Assumes dividends have been reinvested and does not reflect the effect of
sales charges.
(2) Annualized.
See Accompanying Notes to Financial Statements
30
<PAGE>
Financial
Highlights PILGRIM HIGH TOTAL RETURN FUND II (UNAUDITED)
--------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
<TABLE>
<CAPTION>
Class A
----------------------------------------------------
For the six months Year ended October 31,
ended April 30, 2000 -----------------------------
(Unaudited) 1999 1998 1997(1)
-------------------- ------- ------- -------
<S> <C> <C> <C> <C>
Operating performance:
Net asset value, beginning of the
period $ 4.18 4.78 5.49 5.00
Net investment income $ 0.24 0.43 0.50 0.28
Net realized and unrealized gain
(loss) on investments $ (0.67) (0.55) (0.70) 0.53
Total from investment operations $ (0.43) (0.12) (0.20) 0.81
Dividends from net investment income $ (0.22) (0.43) (0.48) (0.28)
Distributions from capital $ -- (0.05) (0.03) (0.04)
Total distributions $ (0.22) (0.48) (0.51) (0.32)
Net asset value, end of the period $ 3.53 4.18 4.78 5.49
Total return(2) % (11.32) (3.10) (4.23) 16.53
Ratios and supplemental data:
Net assets, end of the period (000's) $ 11,827 20,003 40,924 8,548
Ratio of expenses to average net
assets after reimbursement(4) % 1.45 (3) 1.40 1.44 1.26 (3)
Ratio of expenses to average net assets
prior to expense reimbursement % 1.45 (3) 1.40 1.45 4.62 (3)
Ratio of net investment income to average
net assets % 11.37 (3) 9.46 8.90 5.89 (3)
Portfolio turnover % 60 110 150 164
Class B
---------------------------------------------------------
For the six months Year ended October 31,
ended April 30, 2000 ---------------------------------
(Unaudited) 1999 1998 1997(1)
-------------------- -------- -------- ---------
Operating performance:
Net asset value, beginning of the
period 4.18 4.79 5.49 5.00
Net investment income 0.21 0.41 0.47 0.25
Net realized and unrealized gain
(loss) on investments (0.66) (0.57) (0.70) 0.53
Total from investment operations (0.45) (0.16) (0.23) 0.78
Dividends from net investment income (0.20) (0.42) (0.44) (0.25)
Distributions from capital -- (0.03) (0.03) (0.04)
Total distributions (0.20) (0.45) (0.47) (0.29)
Net asset value, end of the period 3.53 4.18 4.79 5.49
Total return(2) (11.61) (4.00) (4.90) 15.91
Ratios and supplemental data:
Net assets, end of the period (000's) 66,348 125,796 168,859 38,076
Ratio of expenses to average net assets
after reimbursement(4) 2.15 (3) 2.11 2.17 1.95 (3)
Ratio of expenses to average net assets
prior to expense reimbursement 2.15 (3) 2.11 2.19 2.70 (3)
Ratio of net investment income to average
net assets 10.65 (3) 8.66 8.17 5.20 (3)
Portfolio turnover 60 110 150 164
Class C
------------------------------------------------------
For the six months Year ended December 31,
ended April 30, 2000 -------------------------------
(Unaudited) 1999 1998 1997
-------------------- -------- -------- --------
Operating performance:
<S> <C> <C> <C> <C>
Net asset value, beginning of the
period $ 4.19 4.79 5.50 5.00
Net investment income $ 0.24 0.40 0.47 0.25
Net realized and unrealized gain (loss)
on investments $ (0.68) (0.55) (0.71) 0.54
Total from investment operations $ (0.43) (0.15) (0.24) 0.79
Dividends from net investment income $ (0.22) (0.41) (0.44) (0.25)
Distributions from capital $ -- (0.04) (0.03) (0.04)
Total distributions (0.22) (0.45) (0.47) (0.29)
Net asset value, end of the period $ 3.53 4.19 4.79 5.50
Total return(2) $ (11.85) (.77) (4.90) 16.12
Ratios and supplemental data:
Net assets, end of the period (000's) $ 14,407 31,014 53,703 12,234
Ratio of expenses to average net assets
after reimbursement(4) $ 2.15 (3) 2.12 2.17 1.95
Ratio of expenses to average average net
assets prior to expense reimbursement % 2.15 (3) 2.12 2.18 2.73
Ratio of net investment income to average
net assets % 10.61 (3) 8.70 8.16 5.17
Portfolio turnover % 60 110 150 164
</TABLE>
(1) Classes A, B & C commenced operations on January 31, 1997.
(2) Assumes dividends have been reinvested and does not reflect the effect of
sales charges.
(3) Annualized.
(4) Expenses calculated net of taxes and advisor reimbursement.
See Accompanying Notes to Financial Statements
31
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization. The Pilgrim Mayflower Trust (the "Trust") comprising Pilgrim
Growth + Value Fund, Pilgrim Research Enhanced Index Fund, Pilgrim International
Value Fund, Pilgrim Emerging Markets Value Fund, Pilgrim High Total Return Fund
and Pilgrim High Total Return Fund II (collectively, the "Funds") were organized
under the laws of the Commonwealth of Massachusetts and registered under the
Investment Company Act of 1940 as diversified open-end management investment
companies.
Pilgrim Growth + Value Fund is a diversified portfolio with the investment
objective of capital appreciation by investing in equity securities. The Fund
seeks to achieve its objective through investments in companies the portfolio
manager identifies as either growth or value through quantitative analysis.
Pilgrim International Value Fund is a diversified portfolio with the investment
objective of long-term capital appreciation. The Fund invests primarily in
foreign companies with a market valuation of greater than $1 billion, but may
hold up to 25% of its assets in companies with smaller market capitalization.
Portfolio managers apply the technique of "value investing".
Pilgrim Emerging Markets Value Fund is a diversified portfolio with the
investment objective of long-term capital appreciation. The Fund invests
primarily in foreign companies located in countries with emerging markets.
Portfolio managers apply the technique of "value investing".
Pilgrim Research Enhanced Index Fund is a diversified portfolio with the
investment objective of capital appreciation. The Fund seeks to achieve its
objective by owning a large number of stocks within the S&P 500 with an emphasis
on those that appear undervalued or fairly valued, and by tracking the industry
weightings and other data characteristic of the S&P 500.
Pilgrim High Total Return Fund is a diversified portfolio with the investment
objective of high income and capital appreciation. The Fund invests primarily in
a diversified group of fixed income securities which are selected for high
current income and the potential for capital growth, including lower-rated fixed
income securities, convertible securities, securities issued by U.S. companies
in foreign currencies, and securities issued by foreign governments and
companies.
Pilgrim High Total Return Fund II is a diversified portfolio with the investment
objective of high income and capital appreciation. The Fund invests primarily in
a diversified group of fixed income securities which are selected for high
current income and the potential for capital growth, including lower-rated fixed
income securities, convertible securities, securities issued by U.S companies in
foreign currencies, and securities issued by foreign governments and companies.
Each Fund offers at least three of the following classes of shares: Class A,
Class B, Class C, Class I and Class Q. The separate classes of shares differ
principally in the applicable sales charges (if any), distribution fees and
shareholder servicing fees. Shareholders of each class also bear certain
expenses that pertain to that particular class. All shareholders bear the common
expenses of the Fund and earn income from the portfolio pro rata based on the
average daily net assets of each class, without distinction between share
classes. Dividends are determined separately for each class based on income and
expenses allocable to each class. Realized gains are allocated to each class pro
rata based on the net assets of each class on the date of distribution. No class
has preferential dividend rights. Differences in per share dividend rates result
from differences in separate class expenses, including distribution and
shareholder servicing fees. Class B shares, along with their reinvested dividend
shares, automatically convert to Class A shares approximately eight years after
purchase.
On October 29, 1999 ReliaStar Financial Corp., the indirect parent company of
Northstar Investment Management Corporation ("Northstar") the investment adviser
to the Funds, acquired Pilgrim Capital Corporation and its subsidiaries. In
conjunction with the acquisition, Northstar changed its name to Pilgrim
Advisors, Inc. On April 30, 2000 Pilgrim Advisors, Inc. merged into Pilgrim
Investments, Inc.
32
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Security Valuation. Equity securities are valued daily at the closing sale
prices reported on recognized securities exchanges or lacking any sales, at the
last available bid price. Prices of long-term debt securities are valued on the
basis of last reported sales price, or if no sales are reported, the value is
determined based upon the mean of representative quoted bid and asked prices for
such securities, or, if such prices are not available, at prices provided by
market makers, or at prices for securities of comparable maturity, quality and
type. Short-term debt instruments with remaining maturities of less than 60 days
are valued at amortized cost, unless the Trustees determine that amortized cost
does not reflect the fair value of such obligations. Securities for which market
quotations are not readily available are valued at fair value determined in good
faith by or under direction of the Trustees of the Funds. At April 30, 2000, the
High Total Return Fund and the High Total Return Fund II contained 13 and 14
securities, respectively, for which market quotations were not readily available
and which were fair valued pursuant to the Funds' procedures. The securities in
the High Total Return Fund had a total value of $29,333,642 representing 12.41%
of the Fund's net assets. The securities in the High Total Return Fund II had a
total value of $12,910,230 representing 13.94% of the Fund's net assets. The
books and records of the Funds are maintained in U.S. dollars. Securities quoted
in foreign currencies are translated into U.S. dollars based on the prevailing
exchange rates on that day. The Adviser uses independent pricing services to
price the Funds' securities.
Security Transactions, Investment Income, Expenses. Security transactions are
recorded on the trade date. Realized gains or losses on sales of investments are
calculated on the identified cost basis. Interest income is recorded on the
accrual basis except when collection is not expected; discounts are accreted,
and premiums amortized to par at maturity; dividend income is recorded on the
ex-dividend dates. Income, expenses (except class specific expenses), and
realized/unrealized gains/losses, are allocated proportionately to each Fund or
class of shares based upon the relative daily net asset value.
Distributions to Shareholders. Dividends from net investment income are declared
and paid monthly by the High Total Return Fund and High Total Return Fund II and
declared and paid annually by the Growth + Value Fund, Research Enhanced Index
Fund, International Value Fund and Emerging Markets Value Fund. Distributions of
net realized capital gains, if any, are declared annually;however, to the extent
that a net realized capital gain can be reduced by a capital loss carryover,
such gain will not be distributed.
The Funds may periodically make reclassifications among certain of their capital
accounts as a result of the timing and characterization of certain income and
capital gains distributions determined annually in accordance with federal tax
regulations which may differ from generally accepted accounting principles.
Foreign Currency. The Funds isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held.
Net realized gain (loss) on foreign currency transactions represents the foreign
exchange: (1) gains and losses from the sale of holdings of foreign currencies,
(2) gains and losses between trade date and settlement date on investment
securities transactions and forward exchange contracts, and (3) gains and losses
from the difference between amounts of interest and dividends recorded and the
amounts actually received. Net change in unrealized appreciation (depreciation)
of investment and foreign currency arise from changes in the value of assets and
liabilities including investment in securities at fiscal year end, resulting
from changes in the exchange rates.
Forward Foreign Currency Contracts. The Funds may enter into forward foreign
currency contracts primarily to hedge against foreign currency exchange rate
risks on their non-U.S. dollar denominated investment securities. When entering
into a currency forward contract, the Funds agree to receive or deliver a fixed
quantity of foreign currency for an agreed-upon price on an agreed future date.
These contracts are valued daily and the funds' net equity therein, representing
unrealized gain or loss on the contracts as measured by the difference between
the forward foreign exchange rates at the dates of entry into the contracts and
33
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
the forward rates at the reporting date, is included in the statement of assets
and liabilities. Realized and unrealized gains and losses are included in the
statement of operations. These instruments involve market and/or credit risk in
excess of the amount recognized in the statement of assets and liabilities.
Risks arise from the possible inability of counterparties to meet the terms of
their contracts and from movement in currency and securities values and interest
rates.
Options. The Funds may write (sell) and purchase put and call options. The
premium collected or paid by a Fund for the sale or purchase of a call or put
option is recorded as an investment and subsequently "marked to market" to
reflect the current market value of the option. If an option which a Fund has
sold or purchased expires on the stipulated expiration date, the Fund realizes a
gain or loss in the amount of the premium received or paid for the option.
For written options, the Fund's obligation may be discharged in three ways: (1)
the option expires on the stipulated expiration date; (2) the option holder
exercises the right to call (buy) or put (sell) the securitiy; or (3) the Fund
enters into a closing transaction. If the option is held until expiration, the
Fund recognizes a gain equal to the amount of premium received. If the written
call option is exercised by the counterparty, the premium is added to the
proceeds from the sale of the underlying security or currency in determining
whether the Fund has realized a gain or loss. If the written put option is
exercised by the counterparty, the premium reduces the cost basis of the
securities purchased by the Fund. If the Fund enters into a closing transaction,
a gain or loss is recognized equal to the difference between the premium
received by the Fund from the counterparty and the amount paid by the Fund on
effecting a closing purchase transaction, including brokerage commissions. As
the writer of options, the Fund bears the market risk of an unfavorable change
in the price of the security underlying the written option.
Futures Contracts. The Funds may invest in futures contracts solely for the
purpose of hedging its existing portfolio securities, or securities that the
Funds intend to purchase, against fluctuations in fair value caused by changes
in prevailing market or interest rates.
Initial margin deposits made upon entering into futures contracts are recognized
as assets due from the broker (the Funds' agent in acquiring the futures
position). During the period the futures contract is open, changes in the value
of the contract are recognized as unrealized gains or losses by "marking to
market" on a daily basis to reflect the daily market value of the contract.
Variation margin payments are received or made by the Funds each day, depending
upon the daily fluctuations in the fair value of the underlying instrument. The
Funds recognize a gain or loss equal to the daily variation margin. When the
contract is closed, the Funds record a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Funds' basis in the contract.
Should market conditions move unexpectedly, the Funds may not achieve the
anticipated benefits of the financial futures contracts and may realize a loss.
The use of futures transactions involve the risk of imperfect correlation in
movements in the price of futures contracts, interest rates, and the underlying
hedged assets.
Repurchase Agreements. The Funds' Custodian takes possession of collateral
pledged for investments in repurchase agreements. The underlying collateral is
valued daily on a mark-to-market basis to assure that the value, including
accrued interest, is at least equal to the repurchase price. In the event of
default of the obligation to repurchase, the Funds have the right to liquidate
the collateral and apply the proceeds in satisfaction of the obligation. If the
seller defaults and the value of the collateral declines or if bankruptcy
proceedings are commenced with respect to the seller of the security,
realization of the collateral by the Funds may be delayed or limited.
Federal Income Taxes. The Funds intend to comply with the special provisions of
the Internal Revenue Code available to investment companies and to distribute
all of the taxable net income to their respective shareholders. Therefore, no
federal income tax provision or excise tax provision is required.
34
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Management's Use of Estimates. The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
Organization Costs. Costs incurred by the Trust in connection with its
organization of each Fund have been deferred and are being amortized over a
period of five years from the date the funds commenced operations.
NOTE 2. INVESTMENT ADVISER, ADMINISTRATOR AND DISTRIBUTOR
Pilgrim Investments, Inc. (the "Adviser"), serves as each Fund's investment
adviser.
Pilgrim Group, Inc. (the "Administrator") serves as administator to each Fund.
Northstar Administrators Corp., the former Administrator, merged into the
Administrator on October 29, 1999. The Funds paid the Administrator a fee
calculated at an annual rate of 0.10% of each Fund's average daily net assets,
and an annual shareholder account servicing fee of $5.00, payable semi-annually,
for each account of beneficial owners of shares. For the six months ended the
Administrator earned $1,332,034 in administrative and account servicing fees.
Pilgrim Securities, Inc. (the "Distributor") is the distributor of each Fund's
shares. The former distributor, Northstar Distributors, Inc. merged into the
Distributor on November 16, 1999. Under separate Plans of Distribution
pertaining to Class A, Class B, Class C, and Class Q, the Funds pay the
Distributor monthly service fees at an annual rate of 0.25% of the average daily
net assets in the case of Class A, Class B, Class C, and Class Q shares, and
monthly distribution fees at the annual rate of 0.05% of the average daily net
assets of Class A shares and 0.75% of the average daily net assets of Class B
and Class C shares for all Funds. Class I shares do not pay distribution or
service fees. For the six months ended the Distributor earned $10,186,153 in
service and distribution fees.
The Distributor also receives the proceeds of the initial sales charges paid by
shareholders upon the purchase of Class A shares, and the contingent deferred
sales charge paid by shareholders upon certain redemptions of Class A, Class B
and Class C shares. For the six months ended April 30, 2000, the Distributor
earned the following amounts in sales charges:
Class A Class B Class C
Shares Shares Shares
-------- -------- --------
Initial sales charges $385,558 N/A N/A
Contingent deferred sales charges 72,888 -- $212,309
The Growth + Value Fund, International Value Fund, and Emerging Markets Value
Fund pay the Advisor an investment advisory fee calculated at an annual rate of
1.00% of average daily net assets. The Research Enhanced Index Fund pays the
Advisor an investment advisory fee calculated at an annual rate of 0.70% of
average daily net assets. The High Total Return Fund pays the Advisor an
investment advisory fee calculated at an annual rate of 0.75% on the first
$250,000,000 of aggregate average daily net assets, 0.70% on the next
$250,000,000 of such assets, 0.65% on the next $250,000,000 of such assets,
0.60% on the next $250,000,00 of such assets, and 0.55% on the assets of each
Fund in excess of $1 Billion. The High Total Return Fund II pays the Advisor an
investment advisory fee calculated at an annual rate of 0.75% of average daily
net assets. For the six months ended April 30, 2000, the Advisor earned
$12,421,249 in investment advisory fees. Navellier Fund Management, Inc.
("Navellier"), a registered investment advisor, serves as subadvisor to the
Growth + Value Fund pursuant to a Subadivsory Agreement dated July 31, 1996 and
amended and restated on July 1, 1998, between the Advisor and Navellier. For its
services, Navellier receives from the Advisor, a fee equal to 0.50% of the
average daily net assets of the Fund. For the six months ended April 30, 2000,
Navellier received $1,261,817 in subadvisory fees from the Advisor. Brandes
Investment Partners, L.P. ("Brandes"), a registered investment advisor, as
subadvisor to the International Value Fund and Emerging Markets Value Fund
pursuant to Subadvisory Agreements dated January 23, 1997 and November 8, 1997,
respectively, between the Advisor and Brandes. For its services, Brandes
receives from the Advisor an annual fee equal to 50% of the management fee that
each of the Funds it subadvises pays the Advisor. (currently 0.50% of the
35
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
average daily net assets of each Fund). For the period December 1, 1998 through
February 28, 1999, Brandes agreed to waive the subadvisory fee on the Emerging
Markets Value Fund. For the six months ended April 30, 2000, Brandes received
$2,749,148 and $46,498 in subadvisory fees from the Advisor for the
International Value Fund and Emerging Markets Value Fund, respectively, J.P.
Morgan Investment Management, Inc. ("J.P. Morgan"), a registered investment
advisor, serves as subadvisor to the Research Enhanced Index Fund pursuant to a
Subadvisory Agreement dated December 21, 1998, between the Advisor and J.P.
Morgan. For its services, J.P. Morgan receives from the Advisor, a fee equal to
0.20% of the average daily net assets of the Fund. For the six months ended
April 30, 2000, J.P. Morgan received $208,381 in subadvisory fees from the
Advisor. The Advisor voluntarily undertook to limit the expenses of the Emerging
Markets Value Fund to 1.80% (Class A) and 2.50% (Class B and C) of each
respective class's average net assets from inception through Februrary 28, 1999.
The Advisor voluntarily undertook to limit the expenses of the Research Enhanced
Index Fund to 1.30% (Class A), 2.00% (Class B and C), and 1.00% (Class I) of
each respective class's average net assets from inception through October 31,
1999.
NOTE 3. FUTURES CONTRACTS
On April 30, 2000, the Research Enhanced Index Fund had $500,000 principal
amount of U.S. Treasury obligations pledged as collateral to cover margin
requirements for open futures contracts.
Open futures contracts at April 30, 2000, were as follows:
Number
of Commit- Unrealized
Contract Contracts Month ment Appreciation
-------- --------- ----- ---- ------------
S&P 500
Index 13 June Buy $115,983
36
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
NOTE 4 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments
(excluding short-term investments) for the six months ended April 30, 2000, were
as follows:
<TABLE>
<CAPTION>
Growth + Value Research Enhanced International Emerging Markets High Total High Total
Fund Index Fund Value Fund Value Fund Return Fund Return Fund II
-------------- ----------------- ------------- ---------------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
Aggregate purchases $610,998,883 $80,907,002 $666,672,075 $4,045,288 $189,297,556 $ 69,137,161
Aggregate sales $452,745,447 $65,561,180 $252,288,377 $8,207,076 $313,020,298 $122,648,745
</TABLE>
U.S. Government Securities not included above were as follows:
<TABLE>
<CAPTION>
Growth + Value Research Enhanced International Emerging Markets High Total High Total
Fund Index Fund Value Fund Value Fund Return Fund Return Fund II
-------------- ----------------- ------------- ---------------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C>
Aggregate purchases $ -- $495,977 $ -- $ -- $ -- $ --
Aggregate sales $ -- $ -- $ -- $ -- $ -- $ --
</TABLE>
NOTE 5. CAPITAL SHARE TRANSACTIONS
Transactions in capital shares of each Fund for the six months ended April 30,
2000, were as follows:
<TABLE>
<CAPTION>
Growth + Value Fund
----------------------------------------------------------------------------------------------
Class A Class B Class C
------------------------------ ------------------------------ ------------------------------
Shares Amount Shares Amount Shares Amount
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 4,872,988 $123,577,881 4,639,945 $114,697,216 4,222,223 $107,818,502
Shares issued as
reinvestment
of dividends 378,838 8,319,621 806,479 17,279,480 302,134 6,471,810
Shares redeemed (2,680,638) (66,767,620) (1,297,352) (32,054,489) (625,514) (15,111,724)
---------- ------------ ---------- ------------ --------- ------------
Net increase 2,571,188 $ 65,129,882 4,149,072 $ 99,922,207 3,898,843 $ 99,178,588
========== ============ ========== ============ ========= ============
</TABLE>
Research Enhanced Index Fund
----------------------------------------------------------
Class A Class B
---------------------------- ----------------------------
Shares Amount Shares Amount
------------ ------------ ------------ ------------
Shares sold 751,709 $ 8,552,483 1,649,231 $ 18,721,291
Shares issued as
reinvestment
of dividends 14,183 165,239 52,875 612,296
Shares redeemed (742,214) (8,433,642) (1,671,583) (18,725,195)
-------- ----------- ---------- ------------
Net increase 23,678 $ 284,080 30,523 $ 608,392
======== =========== ========== ============
<TABLE>
<CAPTION>
Research Enhanced Index Fund
------------------------------------------------------------------------------------
Class C Class I Class Q
---------------------------- -------------------------- --------------------------
Shares Amount Shares Amount Shares Amount
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 2,329,974 $ 26,336,859 -- -- 11,082 $130,704
Shares issued as
reinvestment
of dividends 64,089 742,796 31,779 $371,501 -- --
Shares redeemed (1,272,044) (14,154,851) -- -- -- --
---------- ------------ ------ -------- ------ --------
Net increase 1,122,019 $ 12,924,804 31,779 $371,501 11,082 $130,704
========== ============ ====== ======== ====== ========
</TABLE>
International Value Fund
-------------------------------------------------------------
Class A Class B
----------------------------- -----------------------------
Shares Amount Shares Amount
------------- ------------- ------------- -------------
Shares sold 39,894,461 $ 632,005,345 6,247,864 $ 98,154,493
Shares issued as
reinvestment
of dividends 1,325,339 21,933,745 622,329 10,212,412
Shares redeemed (28,622,468) (452,811,096) 1,603,522) (25,083,404)
----------- ------------- --------- ------------
Net increase 12,597,332 $ 201,127,994 5,266,671 $ 83,283,501
=========== ============= ========= ============
International Value Fund
-------------------------------------------------------------
Class C Class Q
----------------------------- -----------------------------
Shares Amount Shares Amount
------------- ------------- ------------- -------------
Shares sold 11,270,191 $176,504,408 913,289 $13,989,768
Shares issued as
reinvestment
of dividends 732,533 11,998,897 -- --
Shares redeemed (2,384,059) (37,122,055) (1,321) (21,126)
---------- ------------ ------- -----------
Net increase 9,618,665 $151,381,250 911,968 $13,968,642
========== ============ ======= ===========
37
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Emerging Markets Value Fund
--------------------------------------------------------------------------------------------
Class A Class B Class C
---------------------------- ---------------------------- ----------------------------
Shares Amount Shares Amount Shares Amount
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 88,377 $ 1,036,289 84,828 $ 993,498 48,879 $ 568,136
Shares issued as
reinvestment
of dividends 30,132 357,972 11,603 137,491 23,727 279,747
Shares redeemed (318,426) (3,714,556) (42,177) (494,766) (258,575) (3,013,911)
-------- ----------- ------- --------- -------- -----------
Net increase
(decrease) (199,917) $(2,320,295) 54,254 $ 636,223 (185,969) $(2,166,028)
======== =========== ======= ========= ======== ===========
High Total Return Fund
--------------------------------------------------------------------------------------------
Class A Class B Class C
---------------------------- ---------------------------- ----------------------------
Shares Amount Shares Amount Shares Amount
------------ ------------ ------------ ------------ ------------ ------------
Shares sold 2,719,650 $ 8,196,739 1,214,743 $ 3,538,010 353,968 $ 1,059,954
Shares issued as
reinvestment
of dividends 421,485 1,268,967 817,775 2,459,128 130,821 395,374
Shares redeemed (12,347,188) (37,599,138) (30,858,419) (94,100,024) (5,653,026) (17,305,079)
----------- ------------ ----------- ------------ ---------- ------------
Net decrease (9,206,053) $(28,133,432) (28,825,901) $(88,102,886) (5,168,237) $(15,849,751)
=========== ============ =========== ============ ========== ============
High Total Return Fund II
--------------------------------------------------------------------------------------------
Class A Class B Class C
---------------------------- ---------------------------- ----------------------------
Shares Amount Shares Amount Shares Amount
------------ ------------ ------------ ------------ ------------ ------------
Shares sold 200,046 $ 771,067 608,843 $ 2,287,597 290,568 $ 1,111,222
Shares issued as
reinvestment
of dividends 74,108 286,103 257,732 960,708 63,850 230,673
Shares redeemed (1,710,963) (6,478,537) (12,146,735) (46,486,957) (3,683,549) (14,169,706)
---------- ----------- ----------- ------------ ---------- ------------
Net decrease (1,436,809) $(5,421,367) (11,280,160) $(43,238,652) (3,329,131) $(12,827,811)
========== =========== =========== ============ ========== ============
Transactions in capital shares of each Fund for the year ended October 31, 1999,
were as follows:
Growth + Value Fund
--------------------------------------------------------------------------------------------
Class A Class B Class C
---------------------------- ---------------------------- ----------------------------
Shares Amount Shares Amount Shares Amount
------------ ------------ ------------ ------------ ------------ ------------
Shares sold 8,330,313 $119,944,285 3,968,213 $ 62,085,069 2,142,358 $ 33,290,488
Shares redeemed (7,420,035) (104,892,760) (2,518,709) (36,547,165) (1,416,685) (20,271,515)
---------- ------------ ---------- ------------ ---------- ------------
Net increase 910,278 $ 15,051,525 1,449,504 $ 25,537,904 725,673 $ 13,018,973
========== ============ ========== ============ ========== ============
</TABLE>
38
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Research Enhanced Index Fund
-------------------------------------------------------------
Class A Class B
----------------------------- -----------------------------
Shares Amount Shares Amount
------------- ------------- ------------- -------------
Shares sold 2,723,102 $29,720,302 9,270,282 $100,006,579
Shares redeemed (290,337) (3,146,624) (317,349) (3,429,082)
--------- ----------- --------- ------------
Net increase 2,432,765 $26,573,678 8,952,933 $ 96,577,497
========= =========== ========= ============
Research Enhanced Index Fund
-------------------------------------------------------------
Class C Class I
----------------------------- -----------------------------
Shares Amount Shares Amount
------------- ------------- ------------- -------------
Shares sold 7,106,428 $76,733,954 2,500,010 $25,000,100
Shares redeemed (258,766) (2,807,689) -- --
--------- ----------- --------- -----------
Net increase 6,847,662 $73,926,265 2,500,010 $25,000,100
========= =========== ========= ===========
<TABLE>
<CAPTION>
International Value Fund
-------------------------------------------------------------------------------------------
Class A Class B Class C
----------------------------- ----------------------------- -----------------------------
Shares Amount Shares Amount Shares Amount
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 37,389,180 $ 491,487,619 8,274,008 $111,215,626 12,104,834 $162,419,735
Shares issued as
reinvestment
of dividends 1,139,195 13,398,457 520,861 6,044,049 515,060 5,974,729
Shares redeemed (25,654,229) (331,576,463) (2,066,590) (26,329,963) (3,018,495) (39,186,243)
----------- ------------- ---------- ------------ ---------- ------------
Net increase 12,874,146 $ 173,309,613 6,728,279 $ 90,929,712 9,601,399 $129,208,221
=========== ============= ========== ============ ========== ============
Emerging Markets Value Fund
-------------------------------------------------------------------------------------------
Class A Class B Class C
--------------------------- ---------------------------- ----------------------------
Shares Amount Shares Amount Shares Amount
----------- ------------ ------------- ------------- ------------- -------------
Shares sold 655,250 $ 5,675,647 108,938 $ 1,036,248 436,868 $ 3,998,137
Shares issued as
reinvestment
of dividends 4,477 33,577 4,574 34,258 4,474 33,380
Shares redeemed (286,580) (2,642,410) (221,319) (1,848,348) (111,375) (1,086,084)
-------- ----------- -------- ----------- -------- -----------
Net increase
(decrease) 373,147 $ 3,066,814 (107,807) $ (777,842) 329,967 $ 2,945,433
======== =========== ======== =========== ======== ===========
High Total Return Fund
-----------------------------------------------------------------------------------------
Class A Class B Class C
---------------------------- ---------------------------- ---------------------------
Shares Amount Shares Amount Shares Amount
----------- ------------ ------------ ------------- ---------- ------------
Shares sold 8,697,448 $ 32,933,540 13,334,418 $ 50,908,759 4,400,033 $ 17,013,996
Shares issued as
reinvestment
of dividends 1,876,811 7,018,801 3,352,068 12,515,097 580,868 2,180,064
Shares redeemed (22,068,969) (81,688,893) (45,307,016) (167,404,229) (9,679,733) (36,084,554)
----------- ------------ ----------- ------------- ---------- ------------
Net decrease (11,494,710) $(41,736,552) (28,620,530) $(103,980,373) (4,698,832) $(16,890,494)
=========== ============ =========== ============= ========== ============
</TABLE>
39
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
High Total Return Fund II
-----------------------------------------------------------------------------------------
Class A Class B Class C
----------------------------- ---------------------------- ----------------------------
Shares Amount Shares Amount Shares Amount
----------- ------------ ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 1,794,866 $ 8,643,904 6,738,331 $ 32,524,712 2,873,473 $ 13,882,408
Shares issued as
reinvestment
of dividends 252,341 1,186,807 878,947 4,141,238 320,184 1,511,530
Shares redeemed (5,815,058) (27,242,596) (12,809,519) (59,589,557) (6,990,259) (32,901,666)
---------- ------------ ----------- ------------ ----------- ------------
Net decrease (3,767,851) $(17,411,885) (5,192,241) $(22,923,607) $(3,796,602) $(17,507,728)
========== ============ =========== ============ =========== ============
</TABLE>
NOTE 6. CREDIT RISK AND DEFAULTED SECURITIES
Although the Funds have a diversifed portfolio, the High Total Return Fund and
High Total Return Fund II had 76.21% and 87.29%, respectively, of their
portfolios invested in lower rated and comparable quality unrated high yield
securities. Investments in high yield securities are accompanied by a greater
degree of credit risk and such lower rated securities tend to be more sensitive
to economic conditions than higher rated securities. The risk of loss due to
default by the issuer may be significantly greater for the holders of high
yielding securities, because such securities are generally unsecured and are
often subordinated to other creditors of the issuer. At April 30, 2000, the High
Total Return Fund held SA Telecommunications, Inc. and US Interactive, defaulted
securities. The aggregate value for these securities is $38.
For financial reporting purposes, it is each Fund's accounting practice to
discontinue accrual of income and provide an estimate for probable losses due to
unpaid interest income on defaulted bonds for the current reporting period.
NOTE 7. FORWARD FOREIGN CURRENCY CONTRACTS AS OF APRIL 30, 2000 FOR THE PILGRIM
INTERNATIONAL VALUE FUND.
Currency In Net
To Settlement Exchange Unrealized
Purchase Date For Value $ Depreciation
-------- ---- --- ------- ------------
British Pound USD
GBP 13,068,401 5/2/00 20,648,466 20,347,113 (301,353)
Eurodollar USD
EURO 6,066,669 5/3/00 5,586,553 5,516,377 (70,176)
Eurodollar USD
EURO 10,355,995 5/5/00 9,433,793 9,417,957 (15,836)
Eurodollar USD
EURO 10,908,380 5/8/00 9,924,444 9,922,410 (2,034)
--------
(389,399)
========
NOTE 8. SECURITY LOANS
Each Fund may lend its securities to brokers, dealers and other financial
institutions in amounts up to one third of the value of its total assets. The
loans are fully collateralized at all times by cash or liquid high grade
securities. As with other extensions of credit, each Fund may bear risk of delay
in recovery or even loss of rights in the collateral should the borrower of the
securities fail financially. The Funds receive compensation for lending their
securities in the form of fees or all or a portion of the income from
investments of the collateral. The Funds also continue to earn income on the
securities loaned. At April 30, 2000, the Funds did not have any securities on
loan.
NOTE 9. FEDERAL INCOME TAX -- CAPITAL LOSS CARRYFORWARD
During 1999, the Growth + Value Fund and the Emerging Markets Value Fund
utilized the prior years capital loss carryforward amounts of $26,282,878 and
$114,095, respectively.
At October 31, 1999, the High Total Return Fund had capital loss carryforwards
of $6,107,124 and $99,343,698 expiring October 31, 2006 and 2007 respectively.
High Total Return Fund II had capital loss carryforwards of $31,512,402 expiring
October 31, 2006.
40
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
NOTE 10. LETTER OF CREDIT
The Pilgrim Funds, Pilgrim Equity Trust, Pilgrim Variable Products Trust
(formerly Northstar Galaxy Trust) and Pilgrim Mayflower Trust (collectively, the
"Funds") have entered into an unsecured committed revolving line of credit
agreement (the "Credit Agreement") with State Street Bank and Trust Company for
an aggregate amount of $50,000,000. The proceeds may be used only to (1)
temporarily finance the purchase and sale of securities; (2) finance the
redemption of shares of an investor in the Funds; and (3) enable the Funds to
meet other emergency expenses as defined in the Credit Agreement. The Funds pay
a commitment fee equal to 0.08% per annum on the daily unused portion of the
committed line amount payable quarterly in arrears. During the six months ended
April 30, 2000, the Funds did not have any loans outstanding.
NOTE 11. SUBSEQUENT EVENTS
Subsequent to April 30, 2000, the following funds declared dividends from net
investment income of:
Per Share Payable Record
Amount Date Date
--------- ------------ ------------
High Total Return
Class A $ 0.0300 June 5, 2000 May 31, 2000
Class B $ 0.0280 June 5, 2000 May 31, 2000
Class C $ 0.0280 June 5, 2000 May 31, 2000
High Total Return II
Class A $ 0.0360 June 5, 2000 May 31, 2000
Class B $ 0.0340 June 5, 2000 May 31, 2000
Class C $ 0.0340 June 5, 2000 May 31, 2000
41
<PAGE>
Pilgrim
Growth +
Value Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Value
------ -----
COMMON STOCKS: 91.83%
Aerospace/Defense Equipment: 0.66%
123,100 @ Titan, Corp. $ 5,317,465
------------
Applications Software: 1.43%
94,200 @ Siebel Systems, Inc. 11,574,825
------------
Audio/Video Products: 0.41%
71,200 @ Gemstar Int'l Group, Ltd. 3,293,000
------------
Capacitors: 2.54%
275,800 @ Kemet Corp. 20,547,100
------------
Cellular Telecom: 1.72%
207,200 @ Powertel, Inc. 13,934,200
------------
Commercial Banks-Western U.S.: 1.33%
175,000 @ Silicon Valley
Bancshares 10,806,250
------------
Computer-Memory Devices: 7.80%
470,200 @ Advanced Digital Information 11,549,287
288,200 @ Sandisk Corp. 26,406,325
259,100 @ Silicon Storage
Technology, Inc. 25,262,250
------------
63,217,862
------------
Computers-Periphery Equipment: 1.05%
285,000 @ In Focus Systems, Inc. 8,532,187
------------
Consulting Services: 1.82%
186,000 @ Diamond Technology Partner, Inc. 14,717,250
------------
Electronic Components- Miscellaneous: 9.96%
283,500 @ Audiovox Corp. 9,727,594
223,000 AVX Corp. 21,728,562
258,600 @ DSP Group, Inc. 18,392,925
367,700 @ Vishay Intertechnology, Inc. 30,840,837
------------
80,689,918
------------
Electronic Components-
Semiconductors: 19.72%
321,000 @ Alpha Industries, Inc. 16,692,000
234,600 @ Applied Micro Circuits Corp. 30,234,075
277,100 @ Conexant Systems, Inc. 16,591,363
246,600 @ Kopin Corp. 19,096,087
428,700 @ LTX Corp. 19,613,025
202,100 @ Qlogic Corp. 20,273,156
112,100 @ Three-Five Systems, Inc. 9,752,700
268,000 @ TriQuint Semiconductor, Inc. 27,553,750
------------
159,806,156
------------
Electronic Forms: 3.30%
221,400 Adobe Systems, Inc. $ 26,775,564
------------
Fiber Optics: 7.90%
227,500 @ Harmonic, Inc. 16,792,344
3,772,000 @ MRV Communications, Inc. 26,003,225
108,800 @ SDL, Inc. 21,216,000
------------
64,011,569
------------
Industrial Automation/Robotics: 0.30%
44,700 Cognex, Corp. 2,444,643
------------
Internet Software: 2.60%
480,000 @ BroadVision, Inc. 21,090,000
------------
Machinery-Pumps: 1.87%
296,300 Helix Technology Corp. 15,129,819
------------
Medical/Biomedical/Gene: 1.55%
472,600 @ Curagen Corp. 12,582,975
------------
Medical/Drugs: 3.57%
294,400 @ Biovail Corp. 14,039,200
93,100 @ Medimmune, Inc. 14,890,181
------------
28,929,381
------------
Medical Instruments: 1.13%
90,100 @ ArthroCare Corp. 9,178,938
------------
Networking Products: 0.83%
149,000 @ Emulex Corp. 6,760,875
------------
Oil Companies-Exploration &
Production: 2.32%
388,200 Apache Corp. 18,803,438
------------
Oil-Field Services: 3.11%
358,800 @ BJ Services Co. 25,205,700
------------
Photo Equipment & Supplies: 1.17%
520,000 @ Concord Camera Corp. 9,490,000
------------
Retail-Jewlery: 1.27%
142,300 Tiffany & Co. 10,343,431
------------
Software Tools: 2.72%
245,400 @ Mercury Interactive Corp. 22,086,000
------------
Telecommunication Equipment: 6.82%
211,200 @ Adtran, Inc. 14,269,200
340,700 @ Advanced Fibre Communications 15,565,731
391,500 Scientific-Atlanta, Inc. 25,471,969
------------
55,306,900
------------
Wireless Equipment: 2.93%
114,000 @ Powerwave Technologies, Inc. $ 23,719,124
------------
Total Common Stocks (Cost $539,515,828) 744,294,570
------------
Principal
Amount
---------
SHORT-TERM INVESTMENTS: 6.58%
Repurchase Agreements: 6.58%
$53,371,000 State Street Bank & Trust Repurchase
Agreement, 5.680%, Due 05/01/00
(Collateralized by $3,475,000 U.S.
Treasury Notes, 5.625% Market Value
$3,440,250, Due 09/30/01, $25,405,000
U.S. Treasury Notes, 4.625% Market Value
$25,500,269, Due 12/31/00, $24,935,000
U.S. Treasury Notes, 5.750% Market Value
$25,503,014, Due 11/15/00) 53,371,000
------------
Total Short-Term Investments (Cost
$53,371,000) 53,371,000
------------
Total Investments (Cost
$592,886,828) 98.41% 797,665,570
Other Assets and
Liabilities-Net 1.59% 12,847,342
------ ------------
Net Assets 100.00% $810,512,912
====== ============
@ Non-income producing security
The cost for federal income tax purposes and the aggregate appreciation and
depreciation of securities was as follows:
Gross Unrealized Appreciation $263,649,631
Gross Unrealized Depreciation (59,175,894)
------------
Net Unrealized Appreciation $204,473,737
============
See Accompanying Notes to Financial Statements
42
<PAGE>
Pilgrim
Research Enhanced
Index Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Value
------ -----
COMMON STOCK: 98.19%
Aerospace/Defense: 0.64%
16,400 Boeing Co. $ 650,874
21,500 Lockheed Martin Corp. 534,813
11,200 Raytheon Co. -- CL A 256,900
7,900 Raytheon Co. -- CL B 175,281
------------
1,617,868
------------
Aerospace/Defense-Equipment: 0.27%
7,900 Goodrich (B.F.) Co. 251,812
6,900 United Technologies Corp. 429,094
------------
680,906
------------
Agricultural Biotech: 0.62%
31,107 Pharmacia Corp. 1,553,406
------------
Airlines: 0.05%
1,500 @ Northwest Airlines Corp. 37,030
3,500 Southwest Airlines 75,906
900 @ US Airways Group, Inc. 25,031
------------
137,967
------------
Apparel Manufacturers: 0.08%
6,800 @ Jones Apparel Group, Inc. 201,875
------------
Appliances: 0.09%
1,100 Maytag Corp. 37,881
2,900 Whirlpool Corp. 188,861
------------
226,742
------------
Applications Software: 3.79%
5,500 @ Citrix Systems, Inc. 335,843
122,400 @ Microsoft Corp. 8,537,399
8,100 @ Parametric Technology Corp. 66,066
5,000 @ Siebel Systems, Inc. 614,375
------------
9,553,683
------------
Athletic Footwear: 0.06%
3,600 Nike, Inc. 156,375
------------
Auto/Truck Parts &
Equipment-Original: 0.29%
6,700 Dana Corp. 203,512
23,900 Delphi Automotive Systems 457,087
2,600 @ Lear Corp. 77,838
------------
738,437
------------
Auto-Cars/Light Trucks: 1.78%
50,100 Ford Motor Co. 2,739,843
18,800 General Motors Corp. 1,760,150
------------
4,499,993
------------
Auto-Medium & Heavy
Duty Trucks: 0.06%
3,200 Paccar, Inc. $ 152,200
------------
Beverages-Non-Alcoholic: 0.79%
42,400 Coca-Cola Co. 1,995,450
------------
Building & Construction
Production-Miscellaneous: 0.18%
17,100 Masco Corp. 383,680
1,900 USG Corp. 79,325
------------
463,005
------------
Broadcast Service/Program: 0.25%
8,200 @ AT&T -- Liberty Media Group 409,487
8,900 @ Fox Entertainment Group, Inc. 229,175
------------
638,662
------------
Cable TV: 1.52%
34,100 @ Comcast Corp. 1,366,131
32,400 @ MediaOne Group, Inc. 2,450,249
------------
3,816,380
------------
Casino Hotels: 0.11%
3,600 @ Mandalay Resort Group 67,950
10,500 @ Mirage Resorts, Inc. 213,936
------------
281,886
------------
Cellular Telecom: 0.18%
8,200 @ Sprint Corp. (PCS Group) 451,000
------------
Chemicals-Diversified: 0.63%
13,700 Air Products & Chemicals, Inc. 425,556
5,500 Dow Chemical Co. 621,500
13,000 Rohm & Haas Co. 463,125
6,300 Solutia, Inc. 85,837
------------
1,596,018
------------
Chemicals-Specialty: 0.17%
9,800 Praxair, Inc. 435,488
------------
Commercial Banks- Central U.S.: 0.16%
1,800 Associated Bank Corp. 46,012
1,800 Commerce Bankshares, Inc. 55,575
2,800 FirstMerit Corp. 45,850
3,700 Marshall & Ilsley Corp. 171,819
1,000 Old Kent Financial Corp. 30,125
2,500 TCF Financial Corp. 58,437
------------
407,818
------------
Commercial Banks- Eastern U.S.: 0.19%
300 M&T Bank Corp. $ 131,775
2,300 Mercantile Bankshares Corp. 65,550
5,400 North Fork Bancorp. 87,413
2,400 Peoples Heritage Financial Group 31,350
6,000 Summit Bancorp 152,250
400 Wilmington Trust Corp. 18,450
------------
486,788
------------
Commercial Banks-Southern U.S.: 0.31%
13,000 Amsouth Bancorp. 189,312
700 CCB Financial Corp. 27,694
3,400 Compass Bankshares, Inc. 62,900
4,400 First Tennessee National Corp. 83,600
1,100 First Virginia Banks, Inc. 40,150
4,500 Hibernia Corp. 47,813
3,700 National Commerce Bancorp 60,819
6,400 Regions Financial Corp. 130,800
5,600 SouthTrust Corp. 133,700
------------
776,788
------------
Commercial Banks-Western U.S.: 0.01%
800 Bancwest Corp. 14,650
400 Pacific Century Financial Corp. 8,224
------------
22,874
------------
Commercial Services: 0.24%
39,000 @ Cendant Corp. 602,063
------------
Computer Services: 0.31%
11,400 Electronic Data Systems 783,750
------------
Computers-Memory Devices: 2.03%
31,200 @ EMC Corp-Mass 4,334,850
4,500 @ Quantum Corp. -- DLT & Storage 52,874
6,300 @ Seagate Technology, Inc. 320,119
3,900 @ Veritas Software Corp. 418,336
------------
5,126,179
------------
See Accompanying Notes to Financial Statements
43
<PAGE>
Pilgrim
Research Enhanced
Index Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Shares Value
------ -----
Computers-Micro: 4.85%
4,800 @ Apple Computer, Inc. $ 595,500
49,300 Compaq Computer Corp. 1,442,024
21,400 @ Dell Computer Corp. 1,072,675
14,800 Hewlett-Packard Co 1,998,000
26,200 International Business Machines 2,924,575
45,600 Sun Microsystems, Inc. 4,192,350
------------
12,225,124
------------
Consumer Products- Miscellaneous: 0.13%
9,000 Clorox Co. 330,750
------------
Containers-Paper/Plastic: 0.05%
8,500 @ Smurfit-Stone Container Corp. 129,625
------------
Cosmetics & Toiletries: 1.74%
40,200 Gillette Company 1,487,400
7,400 Kimberly-Clark Corp. 429,663
41,300 Procter & Gamble Co. 2,462,513
------------
4,379,576
------------
Data Processing/Mgmt: 0.11%
4,200 Automatic Data Processing 226,013
1,200 First Data Corp. 58,425
------------
284,438
------------
Distribution/Wholesale: 0.07%
6,800 Genuine Parts Co. 178,500
------------
Diversified Financial Service: 2.14%
23,800 Associates First Capital Corp. 528,062
63,100 Citigroup, Inc. 3,750,506
16,000 Household Int'l, Inc. 668,000
5,700 Morgan Stanley Dean Witter & Co. 437,475
------------
5,384,043
------------
Diversified Manufacturing Operations: 6.66%
3,800 Cooper Industries, Inc. 130,387
3,000 Eaton Corp. 252,001
65,600 General Electric Co. 10,315,601
41,800 Honeywell Int'l, Inc. 2,340,800
9,800 ITT Industries, Inc. 309,313
10,500 PPG Industries, Inc. 570,937
62,500 Tyco International, Ltd. 2,871,094
------------
16,790,133
------------
Drug Delivery Systems: 0.04%
2,500 @ Alza Corp. 110,155
------------
Electric Products-Miscellaneous: 0.33%
15,000 Emerson Electric Co. $ 823,125
------------
Electric-Integrated: 1.68%
1,500 Allegheny Energy, Inc. 45,563
7,100 CMS Energy Corp. 134,900
15,900 Carolina Power & Light 581,344
23,700 Central & South West Corp. 513,994
7,800 Cinergy Corp. 208,650
8,400 DTE Energy Co. 274,050
10,099 Dominion Resources, Inc. 454,455
11,800 Entergy Corp. 300,163
400 FPL Group, Inc. 18,075
5,900 GPU, Inc. 165,569
4,900 NiSource, Inc. 90,650
3,800 Northern States Power 82,888
13,500 PG&E Corp. 350,156
7,800 PPL Co. 186,225
4,600 Pinnacle West Capital Corp. 161,575
1,000 Potomac Electric Power 23,438
1,300 Public Service Enterprise Group 46,637
13,500 Texas Utilities Co. 454,781
6,400 Wisconsin Energy Corp. 136,800
------------
4,229,913
------------
Electronic Component-
Semiconductor: 6.50%
20,600 @ Applied Materials, Inc. 2,097,338
78,200 Intel Corp. 9,916,738
1,400 @ Lattice Semiconductor Corp. 94,325
5,200 @ National Semiconductor Corp. 315,900
24,300 Texas Instruments, Inc. 3,957,863
------------
16,382,164
------------
Electronic Forms: 0.18%
3,700 Adobe Systems, Inc. 447,469
------------
Enterprise Software/Service: 1.93%
7,200 @ BMC Software, Inc. 337,049
16,900 Computer Associates Int'l 943,231
10,000 @ Novell, Inc. 196,250
40,900 @ Oracle Corp. 3,269,446
300 @ Peoplesoft, Inc. 4,181
1,800 @ Symantec Corp. 112,387
------------
4,862,544
------------
Fertilizers: 0.03%
4,500 IMC Global, Inc. 69,469
------------
Fiber Optics: 0.01%
200 @ JDS Uniphase Corp. $ 20,737
------------
Finance-Credit Card: 0.13%
7,400 Capital One Financial Corp. 323,750
------------
Finance-Investment Banker/Broker 2.17%
9,300 @ Ameritrade Holding Corp. 155,775
7,400 Bear Stearns Companies, Inc. 317,275
7,800 @ E*trade Group, Inc. 167,700
1,400 Edwards (A.G.), Inc. 52,675
12,200 Goldman Sachs Group, Inc. 1,137,650
3,300 Lehman Brothers Holdings, Inc. 270,806
19,100 Merrill Lynch & Co. 1,947,007
9,600 Paine Webber Group, Inc. 421,200
14,100 Schwab (Charles) Corp. 627,450
18,800 @ TD Waterhouse Group 377,175
------------
5,474,713
------------
Finance-Mortgage Loan/Banker: 1.17%
3,800 Countrywide Credit Industries, Inc. 104,975
23,100 Freddie Mac 1,061,156
29,400 Fannie Mae 1,773,188
------------
2,939,319
------------
Finance-Other Services: 0.07%
9,600 The CIT Group, Inc. 162,600
1,900 Finova Group, Inc. 24,344
------------
186,944
------------
Financial Guarantee Insurance: 0.18%
3,800 AMBAC Financial
Group, Inc. 182,400
5,300 MBIA, Inc. 262,019
------------
444,419
------------
Food-Confectionery: 0.01%
400 Hershey Foods Corp. 18,150
------------
Food-Miscellaneous/Diversified: 1.39%
11,300 Bestfoods 567,825
10,900 Campbell Soup Co. 283,400
11,800 General Mills, Inc. 429,225
15,200 Heinz (H.J.) Co. 516,800
15,800 Kellogg Co. 386,113
1,300 Nabisco Holdings Corp. 48,831
20,600 Unilever N.V. 938,588
5,200 Quaker Oats Co. 338,975
------------
3,509,757
------------
See Accompanying Notes to Financial Statements
44
<PAGE>
Pilgrim
Research Enhanced
Index Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Shares Value
------ -----
Food-Retail: 0.62%
4,200 Albertson's, Inc. $ 136,763
37,600 @ Kroger Co. 697,950
16,700 @ Safeway, Inc. 736,887
------------
1,571,600
------------
Hotels & Motels: 0.14%
9,400 Hilton Hotels Corp. 79,900
2,000 Marriott Int'l, Inc. 64,000
7,300 Starwood Hotels & Resorts World 207,594
------------
351,494
------------
Industrial Automat/Robot: 0.04%
2,600 Rockwell Int'l Corp 102,375
------------
Instruments-Controls: 0.02%
800 Johnson Controls, Inc. 50,650
------------
Instruments-Scientific: 0.02%
700 PE Corp.-PE Biosystems Group 42,000
------------
Insurance Brokers: 0.14%
13,200 AON Corp. 357,225
------------
Internet Content: 0.46%
3,200 @ DoubleClick, Inc. 242,800
7,100 @ Yahoo, Inc. 924,775
------------
1,167,575
------------
Internet Software: 1.46%
58,100 America Online, Inc. 3,475,106
1,100 Exodus Communications, Inc. 97,281
1,100 Tibco Software, Inc 97,969
------------
3,670,356
------------
Investment Management/Adviser
Service: 0.06%
4,500 Franklin Resources, Inc 145,125
------------
Life/Health Insurance: 1.26%
10,000 AXA Financial, Inc. 326,250
8,500 Aetna, Inc. 491,938
8,000 American General Corp. 448,000
8,800 Cigna Corp. 701,800
14,900 @ John Hancock Financial Services 271,925
9,400 @ Lincoln National Corp. 327,238
17,200 Metlife, Inc 284,875
6,700 Torchmark Corp. 167,919
9,000 UnumProvident Corp. 153,000
------------
3,172,945
------------
Machinery-Construction & Mining: 0.19%
12,000 Caterpillar, Inc. $ 473,250
------------
Machinery-General Industry: 0.12%
6,400 Ingersoll-Rand Co. 300,400
------------
Medical Instruments: 0.66%
19,500 @ Boston Scientific Corp. 516,750
1,900 @ Guidant Corp. 109,013
17,700 Medtronic, Inc. 919,294
3,600 @ ST Jude Medical, Inc. 112,275
------------
1,657,332
------------
Medical Products: 0.74%
800 Baxter Int'l, Inc. 52,100
2,300 Becton Dickinson & Co. 58,937
21,100 Johnson & Johnson 1,740,750
------------
1,851,787
------------
Medical-Biomedical/Gene: 0.06%
300 @ Genzyme Corp-General Division 14,643
1,100 @ Human Genome Sciences, Inc. 84,219
1,000 @ Idec Pharmaceuticals Corp. 64,000
------------
162,862
------------
Medical-Drugs: 7.02%
35,900 Abbott Laboratories 1,379,906
30,100 American Home Products Corp. 1,691,244
57,000 Bristol-Myers Squibb Co. 2,988,938
400 @ Forest Laboratories--CL A 33,625
32,400 Eli Lilly & Co. 2,504,925
49,000 Merck & Co., Inc. 3,405,500
31,300 Pfizer, Inc. 1,318,513
41,400 Schering-Plough Corp. 1,668,938
23,500 Warner-Lambert Co. 2,674,594
------------
17,666,183
------------
Medical-Generic Drugs: 0.04%
2,100 @ Watson Pharmaceutical, Inc. 94,369
------------
Medical-HMO: 0.30%
8,100 @ UnitedHealth Group, Inc. 540,169
3,000 @ Wellpoint Health Networks 221,250
------------
761,419
------------
Medical-Hospitals: 0.46%
24,300 Columbia HCA Healthcare Corp. $ 691,031
18,700 Tenet Healthcare Corp. 476,850
------------
1,167,881
------------
Metal-Aluminum: 0.48%
11,500 Alcoa Inc. 746,062
7,000 Reynolds Metals Co. 465,500
------------
1,211,562
------------
Metal-Copper: 0.05%
2,900 Phelps Dodge Corp. 134,125
------------
Metal-Diversified: 0.04%
1,600 @ Freeport-McMoran Copper & Gold-CL A 14,800
7,800 @ Freeport-McMoran Copper & Gold-CL B 75,075
------------
89,875
------------
Money Center Banks: 0.97%
49,400 Bank of America Corp. 2,420,600
400 Chase Manhattan Corp. 28,825
------------
2,449,425
------------
Multi-line Insurance: 1.51%
41,200 Allstate Corp. 973,350
17,600 American Int'l Group 1,930,500
11,200 Hartford Financial Services 584,500
400 Safeco Corp. 8,850
8,700 St. Paul Companies 309,937
------------
3,807,137
------------
Multimedia: 2.42%
7,900 Disney (Walt) Co. 342,169
14,400 Gannett Co., Inc. 919,800
29,200 Seagram Co., Ltd. 1,576,800
32,200 Time Warner, Inc. 2,895,987
6,600 @ Viacom, Inc. 358,876
------------
6,093,632
------------
Networking Products: 4.40%
158,300 @ Cisco Systems, Inc. 10,974,642
2,500 @ 3com Corp. 98,594
------------
11,073,236
------------
Non-hazardous Waste Disposal: 0.21%
33,100 Waste Management, Inc. 525,462
------------
See Accompanying Notes to Financial Statements
45
<PAGE>
Pilgrim
Research Enhanced
Index Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Shares Value
------ -----
Oil Companies-Exploration &
Production: 0.16%
100 Anadarko Petroleum Corp. $ 4,343
3,200 Apache Corp. 155,000
12,900 Union Pacific Resources Group 247,519
------------
406,862
------------
Oil Companies-Integrated: 5.18%
18,900 Chevron Corp. 1,608,862
17,100 Conoco, Inc. 425,363
86,000 Exxon Mobil Corp. 6,681,125
800 Occidental Petroleum Corp. 17,150
5,300 Phillips Petroleum Co. 251,419
14,500 Texaco, Inc. 717,751
58,200 Royal Dutch Petroleum Co. 3,339,225
300 Unocal Corp. 9,694
------------
13,050,589
------------
Oil Field Machinery & Equipment: 0.04%
1,300 @ Cooper Cameron Corp. 97,500
------------
Oil Refining & Marketing: 0.08%
4,300 Tosco Corp. 137,869
2,400 Ultramar Diamond Shamrock Corp. 59,400
------------
197,269
------------
Oil & Gas Drilling: 0.09%
1,800 Diamond Offshore Drilling 72,562
4,900 @ Global Marine, Inc. 117,600
1,600 @ R & B Falcon Corp. 33,200
------------
223,362
------------
Oil-Field Services: 0.11%
8,800 Baker Hughes, Inc. 279,950
------------
Paper & Related Products: 0.48%
1,900 Bowater, Inc. 104,500
8,500 Fort James Corp. 203,469
5,500 Georgia-Pacific 202,125
15,300 International Paper Co. 562,275
2,400 Louisiana-Pacific Corp. 32,100
2,200 Temple-Inland, Inc. 110,275
------------
1,214,744
------------
Photo Equipment & Supplies: 0.39%
17,600 Eastman Kodak Co. 984,500
------------
Pipelines: 0.40%
2,000 Columbia Energy Group $ 125,500
3,600 Dynegy, Inc. 235,575
5,500 EL Paso Energy Corp. 233,750
10,700 Williams Cos., Inc. 399,244
------------
994,069
------------
Power Conservation/Supply Equipment: 0.02%
2,200 Hubbell, Inc. 57,337
------------
Printers & Related Products: 0.17%
3,500 @ Lexmark Int'l Group, Inc. 413,000
------------
Property/Casualty Insurance: 0.01%
1,000 Mercury General Corp. 27,375
------------
Publishing-Newspapers: 0.15%
4,300 Knight Ridder, Inc. 210,968
4,100 New York Times Co. 168,869
------------
379,837
------------
Respiratory Products: 0.00%
160 @ Edwards Lifesciences Corp 2,400
------------
Retail-Apparel/Shoes: 0.64%
5,300 Abercrombie & Fitch Co. 58,300
38,200 Gap, Inc. 1,403,850
1,000 Limited, Inc. 45,188
3,500 Nordstrom, Inc. 97,344
------------
1,604,682
------------
Retail-Building Products: 1.07%
35,600 Home Depot, Inc. 1,995,825
14,100 Lowe's Cos. 697,950
------------
2,693,775
------------
Retail-Consumer Electron: 0.20%
8,500 Circuit City Stores-Circuit 499,906
------------
Retail-Discount: 2.29%
22,300 @ K Mart Corp. 181,188
16,200 TJX Companies, Inc. 310,838
95,300 Wal-Mart Stores, Inc. 5,277,238
------------
5,769,264
------------
Retail-Major Department Stores: 0.80%
16,300 MAY Department Stores Co. $ 448,250
7,300 Penney (J.C.) Co. 100,831
4,100 Sears, Roebuck And Co. 150,162
19,800 Target Corp. 1,317,938
------------
2,017,181
------------
Detail-Regional Department Stores: 0.15%
10,700 @ Federated Department Stores 363,800
------------
Retail-Restaurants: 0.14%
9,400 McDonald's Corp. 358,375
------------
Rubber-Tires: 0.08%
6,700 Goodyear Tire & Rubber Co. 185,088
------------
Savings & Loans/Thrifts-Central U.S.: 0.05%
6,000 Charter One Financial, Inc. 121,875
------------
Savings & Loans/Thrifts-Eastern U.S.: 0.09%
900 Astoria Financial Corp. 24,806
6,200 Dime Bancorp, Inc. 116,250
3,700 Greenpoint Financial Corp. 68,913
3,800 Sovereign Bancorp, Inc. 26,125
------------
236,094
------------
Savings & Loans/Thrifts-Western U.S.: 0.24%
5,600 Golden West Financial Corp. 191,100
16,500 Washington Mutual, Inc. 421,781
------------
612,881
------------
Software Tools: 0.02%
1,300 Autodesk, Inc. 49,887
------------
Steel-Producers: 0.04%
3,800 USX-U.S. Steel Group, Inc. 95,238
------------
Steel-Specialty: 0.04%
3,900 Allegheny Technologies, Inc. 94,331
------------
See Accompanying Notes to Financial Statements
46
<PAGE>
Pilgrim
Research Enhanced
Index Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Shares Value
------ -----
Super-Regional Banks-U.S.: 2.36%
32,000 Bank One Corp. $ 976,000
5,000 Comerica, Inc. 211,875
36,000 First Union Corp. 1,147,500
27,000 Firstar Corporation 671,625
25,100 Fleet Boston Financial Corp. 889,481
600 Huntington Bancshares 10,950
16,500 Keycorp 305,250
8,300 Mellon Financial Corp. 266,638
6,500 National City Corp. 110,500
10,200 PNC Financial Services Group 444,975
4,600 Suntrust Banks, Inc. 233,450
24,800 U.S. Bancorp 503,750
3,100 Union Planters Corp. 87,769
1,700 Wells Fargo & Co. 69,806
------------
5,929,569
------------
Telecomunication Services: 0.51%
2,800 @ Allegiance Telecom, Inc. 198,100
34,400 @ Global Crossing, Ltd. 1,083,600
------------
1,281,700
------------
Telecommunication Equipment: 3.50%
53,200 Lucent Technologies, Inc. 3,308,375
39,100 Nortel Networks Corp. 4,428,075
9,600 @ Qualcomm, Inc. 1,041,000
700 @ Tellabs, Inc. 38,369
------------
8,815,819
------------
Telephone-Integrated: 4.90%
59,200 AT&T Corp. 2,763,900
32,200 GTE Corp. 2,181,550
75,700 MCI Worldcom, Inc. 3,439,619
90,500 SBC Communications, Inc. 3,965,031
------------
12,350,100
------------
Telephone-Local: 1.13%
8,000 Alltel Corp. 533,000
29,900 Bell Atlantic Corp. 1,771,575
11,300 Bellsouth Corp. 550,169
------------
2,854,744
------------
Tobacco: 0.81%
93,600 Philip Morris Co., Inc. 2,047,500
------------
Toys: 0.13%
7,400 Hasbro, Inc. 117,938
17,500 Mattel, Inc. 214,375
------------
332,313
------------
Transportation-Rail: 0.36%
11,900 Burlington Northern Santa Fe Co $ 287,088
5,900 CSX Corp. 123,531
9,400 Norfolk Southern Corp. 165,675
7,500 Union Pacific Corp. 315,938
------------
892,232
------------
Transportation-Services: 0.04%
2,400 @ FedEx Corp. 90,450
------------
Transportation-Truck: 0.01%
1,100 CNF Transportation, Inc. 30,731
------------
Travel Services: 0.00%
46 Sabre Holdings Corp. 1,607
------------
Trucking & Leasing: 0.01%
1,000 Ryder System, Inc. 22,188
------------
Wireless Equipment: 1.03%
21,600 Motorola, Inc. 2,571,750
600 @ Palm, Inc 16,350
------------
2,588,100
------------
Total Common Stocks (Cost $233,526,304) 247,367,924
------------
Principal
Amount
----------
U.S. GOVERNMENT SECURITIES: 0.19%
$ 500,000 U.S. Treasury Note, 5.625%, due 02/28/01 496,560
------------
Total U.S. Government Securities
(Cost $496,870) 496,560
------------
SHORT TERM INVESTMENTS: 1.65%
Repurchase Agreeement: 1.65%
4,151,000 State Street Bank & Trust Repurchase
Agreement 5.680%, Due 05/01/00
(Collateralized by $3,760,000 U.S.
Treasury Bonds, 7.250% Market Value
$4,237,084, Due 05/15/22) 4,151,000
------------
Total Short-Term Investments
(Cost $4,151,000) 4,151,000
------------
Total Investments (Cost
$ 238,174,174)* 100.03% $252,015,484
Other Assets and
Liabilities-Net -0.03% (79,040)
------ ------------
Net Assets 100.00% $251,936,444
====== ============
@ Non-income producing security
The cost for federal income tax purposes and the aggregate appreciation and
depreciation of securities was as follows:
Gross Unrealized Appreciation $ 35,531,484
Gross Unrealized Depreciation (22,053,003)
------------
Net Unrealized Appreciation $ 13,478,481
============
See Accompanying Notes to Financial Statements
47
<PAGE>
Pilgrim
International
Value Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Value
------ -----
COMMON STOCKS: 98.20%
BRAZIL: 6.29%
2,002,000 Banco Bradesco S.A. ADR $ 14,774,760
2,299,900 Centrais Eletricas Brasileiras S.A. ADR 17,079,286
53,730 @ Centrais Geradoras do Sul do Brasil S.A.
ADR 233,746
1,224,200 Compania Cervejaria Brahma S.A. ADR 18,975,100
1,472,300 Petroleo Brasileiro S.A. ADR 34,880,848
3,994 Tele Celular Sul Participacoes S.A. ADR 154,268
13,313 Tele Centro Oeste Celular Participacoes
S.A. ADR 153,100
7,988 Tele Centro Sul Participacoes S.A. ADR 509,235
798 Tele Leste Celular Participacoes S.A. ADR 32,718
1,997 Tele Nordeste Celular Participacoes S.A.
ADR 103,844
798 Tele Norte Celular Participacoes S.A. ADR 36,459
532,786 Tele Norte Leste Participacoes S.A. ADR 9,490,257
39,940 Telecomunicacoes de Sao Paulo S.A. ADR 1,008,485
1,997 Telemig Celular Participacoes S.A. ADR 116,825
15,976 Telesp Celular Participacoes S.A. ADR 704,941
------------
Total Brazil 98,253,872
------------
CANADA: 2.46%
3,189,000 @ Sun Life Financial Services 38,467,313
------------
Total Canada 38,467,313
------------
CHINA: 1.10%
110,680,000 @ PetroChina Co., Ltd. 17,193,396
------------
Total China 17,193,396
------------
DENMARK: 1.80%
282,180 Den Danske Bank 28,068,534
------------
Total Denmark 28,068,534
------------
FRANCE: 9.16%
225,900 Alcatel Alsthom S.A. $ 52,368,251
225,800 Eridania Beghin-Say S.A. 18,649,213
784,100 Compagnie Generale des Etablissements
Michelin 26,018,124
303,492 Total Fina S.A. 46,048,474
------------
Total France 143,084,062
------------
GERMANY: 5.93%
656,500 BASF AG 28,701,273
1,133,300 Bayerische Motoren Werke AG 30,496,378
309,300 Deutsche Telekom AG 20,073,771
45,500 Muenchener Rueckversicheruns-
Gesellschaft AG 13,339,906
------------
Total Germany 92,611,328
------------
HONG KONG: 2.22%
6,146,000 Swire Pacific, Ltd. 34,717,814
------------
Total Hong Kong 34,717,814
------------
IRELAND: 2.17%
1,458,000 Allied Irish Banks PLC 14,513,872
2,866,500 Bank of Ireland 19,336,039
------------
Total Ireland 33,849,911
------------
ITALY: 3.83%
7,733,800 ENI SpA 38,458,462
1,529,200 Telecom Italia SpA 21,381,210
------------
Total Italy 59,839,672
------------
JAPAN: 13.09%
253,000 Canon, Inc. 11,570,801
654,000 Daiichi Pharmaceutical Co., Ltd. 11,249,660
2,307,000 Daiwa House Industry 15,377,864
1,878,900 Hitachi, Ltd. 22,439,300
3,249,000 Komatsu, Ltd. 15,641,161
875,000 Matsushita Electric Industrial Co. Ltd. 23,168,079
10,636,000 Mitsubishi Heavy Industries Ltd. 33,085,183
7,603,000 Nippon Mitsubishi Oil Corp. 26,325,251
4,674,400 Tokio Marine & Fire Insurance Co. 45,612,348
------------
Total Japan 204,469,647
------------
MEXICO: 2.04%
541,060 Telefonos de Mexico S.A. ADR 31,821,091
------------
Total Mexico 31,821,091
------------
NETHERLANDS: 2.75%
788,386 ING Group N.V. $ 43,017,637
------------
Total Netherlands 43,017,637
------------
NEW ZEALAND: 1.83%
6,751,466 Telecom Corp. of New Zealand, Ltd. 28,523,054
------------
Total New Zealand 28,523,054
------------
PORTUGAL: 1.02%
1,428,316 Portugal Telecom S.A. 15,932,375
------------
Total Portugal 15,932,375
------------
SINGAPORE: 2.75%
2,285,191 DBS Group Holdings, Ltd. 31,469,082
2,872,626 Jardine Matheson Holdings, Ltd. 11,490,504
------------
Total Singapore 42,959,586
------------
SOUTH AFRICA: 1.93%
765,000 De Beers Consolidated Mines 15,682,472
449,105 Iscor, Ltd. 993,522
1,835,400 South African Breweries PLC 13,545,155
------------
Total South Africa 30,221,149
------------
SOUTH KOREA: 1.37%
1,055,000 Korea Electric Power Corp. ADR 17,275,625
120,000 @ Korea Telecom Corp. ADR 4,140,000
-----------
Total Korea 21,415,625
-----------
SPAIN: 1.64%
1,462,533 Banco Bilbao Vizcaya Argentaria 19,943,831
294,000 Union Electrica Fenosa S.A. 5,663,566
-----------
Total Spain 25,607,397
-----------
SWITZERLAND: 6.04%
4,703,700 Allied Zurich PLC 46,796,718
17,900 Nestle S.A. 31,553,739
45,200 @ Swisscom AG 15,935,520
-----------
Total Switzerland 94,285,977
-----------
See Accompanying Notes to Financial Statements
48
<PAGE>
Pilgrim
International
Value Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Value
------ -----
UNITED KINGDOM: 27.37%
980,000 Allied Domecq PLC $ 4,798,678
415,000 BOC Group PLC 6,829,643
4,880,000 British Aerospace PLC 30,011,786
9,121,200 British American Tobacco PLC 56,805,043
1,168,000 British Telecom PLC 20,912,965
2,436,507 Cadbury Schweppes PLC 16,691,496
5,955,000 Corus Group PLC 8,019,971
5,491,012 Diageo PLC 44,285,044
2,945,600 HSBC Holdings PLC 32,994,865
2,612,800 Imperial Chemical Industries PLC 22,374,008
5,610,898 Invensys PLC 27,081,268
8,351,750 Marks & Spencer PLC 30,915,262
5,429,000 National Power PLC 24,702,977
1,633,500 Reckitt Benckiser PLC 16,804,718
1,330,000 Rolls-Royce PLC 5,073,325
2,824,809 Royal & Sun Alliance Insurance Group PLC 15,833,120
6,267,100 Safeway PLC 21,125,133
7,012,000 Unilever PLC 42,140,934
-------------
Total United Kingdom 427,400,236
-------------
VENEZUELA: 1.41%
759,700 Compania Anonima Nacional Telefonos
de Venezuela ADR 22,031,300
-------------
Total Venezuela 22,031,300
-------------
Total Common Stock (Cost $1,459,873,161) 1,533,770,976
-------------
Principal
Amount Value
--------- --------------
SHORT-TERM INVESTMENTS: 4.18%
Repurchase Agreement: 4.18%
$65,313,000 State Street Bank & Trust
Repurchase Agreement, 5.680% due
05/01/00 (Collateralized by
$15,565,000 U.S. Treasury Notes,
4.625% Market Value $15,623,369,
Due 12/31/00, $24,935,000 U.S.
Treasury Notes, 5.750% Market Value
$25,503,094, Due 11/15/00, $25,285,000
U.S. Treasury Notes, 4.000% Market
Value $25,500,681, Due 10/31/00) 65,313,000
--------------
Total Short-Term Investments
(Cost $65,313,000) 65,313,000
--------------
Total Investments (Cost
$1,525,186,161)* 102.38% $1,599,083,976
Other Assets and
Liabilities - Net -2.38% (37,232,091)
------ --------------
Net Assets 100.00% $1,561,851,885
====== ==============
@ Non-income producing security ADR -- American Depository Receipt
* The cost for federal income tax purposes and the aggregate appreciation and
depreciation of securities was as follows:
Gross Unrealized Appreciation $ 198,683,714
Gross Unrealized Depreciation (124,804,972
--------------
Net Unrealized Appreciation $ 73,881,742
==============
Percentage
Industry of Net Assets
-------- -------------
Aerospace/Defense 2.25%
Agricultural Operations 1.19%
Audio/Video Products 1.48%
Auto-Cars/Light Trucks 1.95%
Beverages-Wine/Spirits 3.14%
Building-Residential/Commer 0.98%
Brewery 2.08%
Cellular Telecommunications 0.08%
Chemicals-Diversified 3.71%
Commercial Banks-Europe 3.96%
Commercial Banks-Latin America 0.95%
Diamonds/Precious Stones 1.00%
Diversified Manufacturing Operations 3.85%
Diversified Operations 2.22%
Electric Products - Miscellaneous 1.44%
Electric-Generation 1.60%
Electric-Integrated 2.56%
Food-Miscellaneous/Diversified 5.79%
Food-Retail 1.35%
Life/Health Insurance 2.46%
Machinery-Construction & Mining 1.00%
Medical-Drugs 0.72%
Money Center Banks 8.16%
Multi-line Insurance 4.01%
Office Automation & Equipment 0.74%
Oil Companies-Integrated 8.74%
Oil Refining & Marketing 1.69%
Property/Casualty Insurance 2.92%
Reinsurance 0.85%
Retail-Major Department Stores 1.98%
Retail-Misc/Diversified 0.74%
Rubber-Tires 1.67%
Soap & Cleaning Preparation 1.08%
Steel-Producers 0.58%
Telecom Services 2.09%
Telecommunication Equipment 3.35%
Telephone-Integrated 9.48%
Telephone-Local 0.70%
Tobacco 3.64%
Short-term Investments 4.18%
Other Assets and Liabilities, Net (2.38)%
------
NET ASSETS 100.00%
======
See Accompanying Notes to Financial Statements
49
<PAGE>
Pilgrim
Emerging Markets
Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Value
------ -----
COMMON STOCKS: 98.34%
ARGENTINA: 11.41%
73,348 Banco de Galicia y Buenos Aires $ 317,815
40,500 Massalin Particulares 287,747
45,560 Quilmes Industrial S.A. ADR 432,820
13,930 Telecom Argentina S.A. ADR 389,169
12,440 Telefonica de Argentina S.A. ADR 436,955
-------------
Total Argentina 1,864,506
-------------
BRAZIL: 18.88%
17,790 Cemig ADR 272,107
6,500 Centrais Eletric DE STA CAT ADR 218,767
33,900 Centrais Eletricas Brasileiras ADR 251,745
37,490 @ Centrais Geradoras do Sul do Brasileiras
ADR 163,096
54,170 CIA Paranaense DE Energia ADR 399,505
16,600 Compania Cervejaria Brahma ADR 257,300
23,400 Copene-Petroquimica do Nordeste ADR 389,039
11,230 Petroleo Brasileiro S.A. ADR 266,055
1,880 Tele Centro Sul Participacoes S.A. ADR 119,850
3,240 Tele Norte Leste Participacoes ADR 57,705
9,390 Telecomunicacoes de Sao Paulo S.A. ADR 237,098
12,110 @ Uniao de Bancos Brasileiros 301,994
36,300 Usinas Sider de Minas Gerais-Ol ADR 151,077
-------------
Total Brazil 3,085,338
-------------
CHILE: 5.42%
13,400 Banco Santiago ADR 264,650
10,900 @ Provida ADR 224,814
35,200 Quinenco S.A. ADR 396,000
-------------
Total Chile 885,464
-------------
CHINA: 10.46%
2,459,000 Beijing Datang Power Generation Co., Ltd. $ 340,949
1,426,000 Beijing Yanhua Petrochemical 168,428
25,630 Beijing Yanhua Petrochemical ADR 161,789
472,000 Guangdong Kelon Electric 295,409
2,616,000 @ PetroChina Co., Ltd. 406,379
99,820 Shandong Huaneng Power ADR 336,894
-------------
Total China 1,709,848
-------------
COLOMBIA: 1.48%
34,700 Banco Ganadero ADR 242,900
-------------
Total Colombia 242,900
-------------
CZECH REPUBLIC: 1.55%
87,300 @ Ceske Energeticke Zavody 253,633
-------------
Total Czech Republic 253,633
-------------
GREECE: 2.58%
11,400 Hellenic Telecommunications Org. 256,633
14,100 Hellenic Telecommunications Org. ADR 164,795
-------------
Total Greece 421,428
-------------
HONG KONG: 2.65%
396,070 First Pacific Co. 139,834
262,000 Shangri-La Asia, Ltd. 292,636
-------------
Total Hong Kong 432,470
-------------
ISRAEL: 6.21%
179,400 Bank Leumi Le-Israel 389,850
12,640 ECI Telecom, Ltd. 351,550
15,610 Koor Industries, Ltd. ADR 273,175
-------------
Total Israel 1,014,575
-------------
MALAYSIA: 2.48%
347,000 Pacific & Orient Berhad 405,442
-------------
Total Malaysia 405,442
-------------
MEXICO: 7.34%
14,470 @ Grupo Financiero Inbursa S.A. ADR 298,216
24,050 Panamerican Beverages, Inc. 395,322
8,600 Telefonos de Mexico S.A. ADR 505,787
-------------
Total Mexico 1,199,325
-------------
PANAMA: 1.93%
12,800 Banco Latinoamericano de Export $ 316,000
-------------
Total Panama 316,000
-------------
PHILIPPINES: 3.40%
10,000 Philippine Long Distance Telephone Co. ADR 184,375
3,993,595 RFM Corp. 236,027
4,306,534 @ Solid Group, Inc. 135,606
-------------
Total Philippines 556,008
-------------
RUSSIA: 1.90%
2,900 Lukoil-Holding ADR 174,812
20,360 OAO Gazprom ADR 135,903
-------------
Total Russia 310,715
-------------
SINGAPORE: 5.20%
37,216 DBS Group Holdings, Ltd. 512,497
108,900 Dairy Farm Int'l Holdings 69,153
45,900 Dairy Farm Int'l Holdings ADR 144,585
30,780 Jardine Matheson Holdings, Ltd. 123,120
-------------
Total Singapore 849,355
-------------
SOUTH AFRICA: 7.35%
15,400 De Beers Consolidated Mines 315,699
96,800 Iscor, Ltd. 214,144
28,000 Sasol, Ltd. 164,354
7,000 Sasol, Ltd. ADR 40,250
63,300 South African Breweries PLC 467,151
-------------
Total South Africa 1,201,598
-------------
SOUTH KOREA: 5.14%
33,630 Korea Electric Power Corp. ADR 550,691
8,400 Korea Telecom ADR 289,800
-------------
Total South Korea 840,491
-------------
VENEZUELA: 2.96%
16,680 Compania Anonima Nacional Telefonica ADR 483,720
-------------
Total Venezuela 483,720
-------------
See Accompanying Notes to Financial Statements
50
<PAGE>
Pilgrim
Emerging Markets
Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Value
-------------
Total Investments
(Cost $15,660,448) 98.34% $ 16,072,816
Other Assets and
Liabilities, Net 1.66% 272,000
------ -------------
Net Assets 100.00% $ 16,344,816
====== =============
@ Non-income producing security
ADR -- American Depository Receipt
* Cost for federal income tax purposes is the same as for financial statement
purposes. Net unrealized appreciation consists of:
Gross Unrealized Appreciation $ 2,466,904
Gross Unrealized Depreciation (2,054,536)
-------------
Net Unrealized Appreciation $ 412,368
=============
Percentage
Industry of Net Assets
-------- -------------
Appliances 1.81%
Beverages-Non-Alcoholic 2.42%
Brewery 7.08%
Commercial Banks-Latin America 7.21%
Diamonds/Precious Stones 1.93%
Diversified Operations 3.27%
Electric Products-Miscellaneous 0.82%
Electric-Generation 6.70%
Electric-Integrated 10.35%
Finance-Other Services 1.83%
Food-Misc/Diversified 1.45%
Food-Retail 1.31%
Gas-Distribution 0.84%
Hotels&Motels 1.79%
Investment Companies 1.67%
Investment Management/Advisor Service 1.38%
Money Center Banks 7.14%
Oil Companies-Integrated 6.43%
Petrochemicals 4.40%
Property/Casualty Insurance 2.48%
Real Estate 0.00%
Retail-Miscellaneous/Diversified 0.76%
Steel-Producers 2.23%
Telecom Services 1.77%
Telecommunication Equipment 2.15%
Telephone-Integrated 14.82%
Telephone-Local 2.54%
Tobacco 1.76%
Other Assets and Liabilities, Net 1.66%
------
NET ASSETS 100.00%
======
See Accompanying Notes to Financial Statements
51
<PAGE>
Pilgrim
High Total
Return Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Principal
Amount Value
----------- --------
CORPORATE BONDS: 73.42%
Aerospace/Defense: 0.93%
$3,996,000 Simula, Inc., 8.000%, due 05/01/04 $ 2,197,800
-------------
Broadcasting, Radio & Television: 5.43%
5,300,000 Brill Media Co. LLC, 12.000%, due 12/15/07 3,551,000
5,946,400 & Capstar Broadcasting Partners, Inc.,
12.000%, due 07/01/09 6,838,360
3,750,000 Source Media, Inc., 12.000%, due 11/01/04 2,456,250
-------------
12,845,610
-------------
Business Services: 3.79%
7,500,000 Allied Waste North America, Inc., 10.000%,
due 08/01/09 5,118,750
5,373,430 & Comforce Corp., 15.000%, due 12/01/09 1,665,763
4,000,000 Comforce Operating, Inc. 12.000%,
due 12/01/07 2,180,000
-------------
8,964,513
-------------
Cable & DBS: 11.80%
10,000,000 Charter Communications Holdings, 0/9.920%,
due 04/01/11 5,525,000
2,500,000 # Charter Communications Holdings,
0/11.750%, due 01/15/10 1,381,250
8,300,000 Diva Systems Corp., 0/12.625%, due 03/01/08 4,316,000
9,000,000 NTL Communications Corp., 9.750%,
due 04/15/09 7,706,907
4,000,000 @@ Star Choice Communications, 13.000%,
due 12/15/05 4,080,000
4,000,000 # United Pan Europe Communications NV,
0/13.750%, due 02/01/10 1,940,000
3,250,000 # XM Satellite Radio, Inc., 14.000%,
due 03/15/10 2,941,250
-------------
27,890,407
-------------
Communications-Internet: 4.68%
3,250,000 # Colo.com, 13.875%, due 03/15/10 3,331,250
$5,000,000 # Globix Corp., 12.500%, due 02/01/10 $ 4,425,000
8,267,451 & U.S. Interactive, 12.000%, due 04/17/05 3,306,980
-------------
11,063,230
-------------
Communications-Wireless: 6.06%
7,000,000 Alamosa Holdings, Inc., 0/12.875%,
due 02/15/10 3,675,000
3,500,000 Arch Communications, Inc., 13.750%,
due 04/15/08 2,940,000
9,500,000 Nextel Communications, Inc., 0/9.950%,
due 02/15/08 6,733,125
1,680,000 # Ubquitel Operating Co., 0/14.000%, due
04/15/10 974,400
-------------
14,322,525
-------------
Communications-Wireline: 16.69%
9,500,000 21st Century Telecom Group, Inc.,
0/12.250%, due 02/15/08 6,816,250
6,000,000 Esprit Telecom Group, 11.500%,
due 12/15/07 2,412,392
2,000,000 Esprit Telecom Group, 11.500%,
due 12/15/07 1,750,000
4,500,000 @@ Global Crossing
# Holdings, Ltd., 9.500%, due 11/15/09 4,410,000
8,000,000 # Level 3 Communications, Inc., 0/12.875%,
due 03/15/10 4,180,000
10,195,500 Metromedia Int'l Group, Inc., 10.500%,
due 09/30/07 5,046,773
5,000,000 Nextlink Communications, Inc., 0/12.250%,
due 06/01/09 2,950,000
2,000,000 Northeast Optic Network, 12.750%, due
08/15/08 1,950,000
7,000,000 @@ Poland Telecom Finance, 14.000%,
due 12/01/07 1,925,000
3,000,000 @@ RSL Communications, Ltd./RSL Communications
PLC, 12.250%, due 11/15/06 2,985,000
$3,800,000 SA Telecommunications, Inc., 10.000%,
due 08/15/06 $ 0
5,000,000 SA Telecommunications, Inc., 10.000%,
due 08/15/06 0
8,500,000 # SA Telecommunications, Inc., 10.000%,
due 08/15/06 0
5,500,000 Viatel, Inc., 11.500%, due 03/15/09 5,032,500
-------------
39,457,915
-------------
Consumer Products: 0.72%
2,000,000 Simmons Co., 10.250%, due 03/15/09 1,700,000
-------------
Containers, Packaging, Glass: 0.04%
5,014,257 Packaging Resources, Inc., 13.000%,
due 06/30/03 100,285
-------------
Electronics: 0.77%
1,620,000 Entex Information Services, Inc., 12.500%,
due 08/01/06 1,810,350
-------------
Finance, Insurance, Banking: 0.80%
2,000,000 MFN Financial Corp., 10.000%,
due 03/23/01 1,890,000
-------------
Food, Beverage and Tobacco: 1.72%
5,000,000 Packaged Ice, Inc., 9.750%, due 02/01/05 4,075,000
-------------
Gaming & Lottery: 3.40%
5,000,000 # Hollywood Casino Shreveport, 13.000%,
due 08/01/06 5,300,000
3,000,000 Venetian Casino Resort LLC, 10.000%, due
11/15/05 2,745,000
-------------
8,045,000
-------------
Health Care: 3.45%
1,400,000 Health Insurance Plans, 11.250%,
due 07/01/10 868,000
3,804,878 Intracel Corp., 12.000%, due 08/25/03 951,220
22,195,122 Intracel Corp., 12.000%, due 08/25/03 5,548,780
797,275 Intracel Corp., 13.000%, due 05/27/00 797,275
-------------
8,165,275
-------------
See Accompanying Notes to Financial Statements
52
<PAGE>
Pilgrim
High Total
Return Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Principal
Amount Value
----------- --------
Manufacturing: 1.09%
$6,750,000 Decora Industries, Inc., 11.000%, due
05/01/05 $ 2,565,000
-------------
Oil & Gas: 0.80%
3,000,000 @@ Northern Offshore Asa, 10.000%, due
05/15/05 1,890,000
-------------
Oil & Gas -- Refining & Marketing: 3.11%
7,944,530 @@ Hurricane Hydrocarbons, 16.000%, due
# 12/31/01 7,348,690
-------------
Retail: 2.83%
7,800,000 Tom's Foods, Inc., 10.500%, due 11/01/04 6,688,500
-------------
Shipping: 3.97%
10,000,000 @@ Equimar Shipholdings, Ltd., 9.875%, due
07/01/07 4,000,000
6,100,000 Ultralpetrol Bahamas, Ltd., 10.500%, due
04/01/08 5,398,500
-------------
9,398,500
-------------
Transportation (Air, Bus, Rail): 1.34%
3,500,000 # Amtran, Inc., 10.500%, due 08/01/04 3,167,500
-------------
Total Corporate Bonds (Cost $251,886,831) 173,586,100
-------------
COMMON STOCK: 0.85%
Shares
------
Cable & DBS: 0.20%
38,600 @@ Canadian Satellite Communications, Inc. 478,297
-------------
Communications -- Internet: 0.17%
76,446 @ E.Spire Communications, Inc. 387,009
-------------
Communications -- Wireless: 0.29%
410,929 @ International Wireless Communications 685,635
-------------
Communications -- Wireline: 0.11%
77,790 @@ Gst Telecommunications, Inc. 262,541
-------------
Health Care: 0.01%
801 @ General Healthcare Group, Ltd. 0
114,151 @ Intracel Corp. 28,538
-------------
28,538
-------------
Manufacturing: 0.05%
2,100 @ Jordan Telecommunications $ 109,200
-------------
Restaurants: 0.02%
108,839 @ International Fastfood Corp. 51,155
-------------
Total Common Stock (Cost $14,717,869) 2,002,375
-------------
Shares
--------
PREFERRED STOCK: 11.24%
Broadcasting, Radio, & Television: 3.97%
95,640 & Paxson Communications Corp. 9,372,720
-------------
Communications -- Wireline: 1.26%
12,000 @@ Global Crossing, Ltd., 6.750%, due
04/15/12 2,988,000
-------------
Consumer Products: 0.43%
100,000 Commemorative Brands, Inc. 1,025,000
-------------
Food, Beverage and Tobacco: 4.98%
771,990 & North Atlantic Trading, Inc., 12.000%, due
06/15/07 11,772,845
-------------
Restaurants: 0.29%
129,423 International Fastfood Corp., 0/3.000% 679,471
-------------
Supermarket: 0.15%
165,000 & Supermarkets General Holdings Corp.,
3.520%, due 10/15/07 355,781
-------------
Oil & Gas -- Refining & Marketing: 0.16%
400,000 Transcontinental, 6.000%, due 06/30/00 373,200
-------------
Total Preferred Stock
(Cost $58,148,443) 26,567,017
-------------
MUTUAL FUNDS: 1.37%
Finance, Insurance, Banking: 1.37%
389,284 Van Kampen Senior Income Trust
(Cost $3,259,045) 3,235,923
-------------
Warrants Value
-------- -----
@ WARRANTS: 2.25%
Business Services: 0.01%
71,825 Comforce Corp. $ 17,956
-------------
Cable & DBS: 0.15%
24,900 Diva Systems Corp. 305,025
24,500 ICF Kaiser Int'l 56,350
1,500 Wireless One, Inc. 15
-------------
361,390
-------------
Communications -- Internet: 0.51%
5,000 Bell Technology Group, Ltd. 1,194,500
3,833 U.S. Interactive 38
7,795 Unifi Communications, Inc. 0
-------------
1,194,538
-------------
Communications -- Wireless: 0.05%
10,000 Cellnet Data Systems, Inc. 2,600
177,000 Geotek Communications, Inc. 0
8,500 Int'l Wireless Communications
Holdings, Inc. 85
9,500 Mccaw Int'l, Ltd. 116,375
-------------
119,060
-------------
Communications -- Wireline: 0.80%
10,200 Adelphia Business Solutions 1,787,550
6,600 ICG Communications, Inc. 102,300
7,000 @@ PLD Telekom, Inc. 350
7,000 @@ PLD Telekom, Inc. 70
7,000 @@ Poland Telecom Finance 70
-------------
1,890,340
-------------
Finance, Insurance, Banking: 0.00%
5,000 Olympic Financial, Ltd. 6,250
-------------
Food, Beverage and Tobacco: 0.54%
5,550 North Atlantic Trading, Inc. 555,000
14,350 Packaged Ice, Inc. 502,250
6,350 Packaged Ice, Inc. 222,250
-------------
1,279,500
-------------
See Accompanying Notes to Financial Statements
53
<PAGE>
Pilgrim
High Total
Return Fund
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Number
of
Warrants Value
--------- -------------
Manufacturing: 0.00%
1,262 Roller Bearing Co. America, Inc. $ 0
-------------
Paper and Forest Products: 0.18%
80,000 SDW Holdings Corp. 431,600
-------------
Retail: 0.01%
23,632 Dairy Mart Convenience Stores 14,179
-------------
Steel: 0.00%
7,000 Bar Technologies, Inc. 6,125
5,010 Gulf States Steel, Inc. 50
12,500 Sheffield Steel Corp. 0
-------------
6,175
-------------
Transportation (Air, Bus, Rail): 0.00%
2,000 @@ CHC Helicopter Corp. 2,000
-------------
Total Warrants (Cost $1,466,866) 5,322,989
-------------
Total Long-Term Investments
(Cost $329,479,055) $ 210,714,404
-------------
Principal
Amount Value
----------- -------------
SHORT-TERM INVESTMENTS: 7.21%
Repurchase Agreement: 7.21%
$17,049,000 State Street Repurchase
Agreement, 5.680% due 05/01/00
(Collateralized by $17,245,000 U.S.
Treasury Notes, 4.000% Market Value
$17,392,100, Due 10/31/00) $ 17,049,000
-------------
Total Short-Term Investments
(Cost $17,049,000) 17,049,000
-------------
Principal
Amount Value
----------- -------------
Total Investments
(Cost $346,528,055)* 96.34% $ 227,763,404
Other Assets and
Liabilities--Net 3.66% 8,648,423
------ -------------
Total Net Assets 100.00% $ 236,411,827
====== =============
@ Non-income producing security
# Securities with purchases pursuant to Rule 144A, under the Securities Act
of 1933 and may not be resold subject to that rule, except to qualified
institutional buyers.
& Payment-in-kind security
@@ Foreign Issuer
The cost for federal income tax purposes and the aggregate appreciation and
depreciation of securities was as follows:
Gross Unrealized Appreciation $ 6,845,946
Gross Unrealized Depreciation (126,068,377)
-------------
Net Unrealized Depreciation $(119,222,431)
=============
See Accompanying Notes to Financial Statements
54
<PAGE>
Pilgrim
High Total
Return Fund II
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Principal
Amount Value
------ -------------
CORPORATE BONDS: 84.26%
Aerospace/Defense: 0.00%
$ 4,000 Simula, Inc., 8.000%, due 05/01/04 $ 2,200
-------------
Automotive: 0.04%
2,500,000 Safelite Glass Corp., 9.875%,
due 12/15/06 37,500
-------------
Broadcasting, Radio & Television: 2.88%
3,000,000 Brill Media Co., LLC, 12.000%,
due 12/15/07 2,010,000
1,000,000 Source Media, Inc., 12.000%, due 11/01/04 655,000
-------------
2,665,000
-------------
Business Services: 4.71%
4,000,000 Allied Waste North America, Inc.,
10.000%, due 08/01/09 2,730,000
1,745,146 & Comforce Corp., 15.000%, due 12/01/09 540,995
2,000,000 Comforce Operating, Inc., 12.000%,
due 12/01/07 1,090,000
-------------
4,360,995
-------------
Cable & DBS: 16.86%
6,500,000 Charter Communications, LLC, 0/9.920%,
due 04/01/11 3,591,250
4,200,000 Diva Systems Corp., 0/12.625%,
due 03/01/08 2,184,000
3,250,000 NTL Communications Corp., 9.750%,
due 04/15/09 2,783,050
4,150,000 NTL, Inc., 0/9.750%, due 04/01/08 2,640,437
2,500,000 @@ Star Choice Communications, 13.000%,
due 12/15/05 2,550,000
1,500,000 @@ United Pan Europe Communications,
# NV, 0/13.750%, due 02/01/10 727,500
1,250,000 # XM Satellite Radio, Inc., 14.000%,
due 03/15/10 1,131,250
-------------
15,607,487
-------------
Communications -- Internet: 3.02%
$1,000,000 # Colo.com, 13.875%, due 13/15/10 $ 1,025,000
2,000,000 # Globix Corp., 12.500%, due 02/01/10 1,770,000
-------------
2,795,000
-------------
Communications -- Wireless: 10.45%
3,000,000 Alamosa Holdings, Inc., 0/12.875%,
due 02/15/10 1,575,000
5,750,000 Crown Castle Int'l Corp., 0/11.250%,
due 08/01/11 3,478,750
6,000,000 Nextel Communications, Inc., 0/9.950%,
due 02/15/08 4,252,500
640,000 # Ubquitel Operating Co., 0/14.000%,
due 04/15/10 371,200
-------------
9,677,450
-------------
Communications -- Wireline: 12.16%
112,000 & 21st Century Telecom Group, Inc.,
13.750%, due 02/15/10 104,160
4,000,000 # Level 3 Communications, Inc., 0/12.875%,
due 03/15/10 2,090,000
3,000,000 Nextlink Communications, Inc., 0/12.250%,
due 06/01/09 1,770,000
3,000,000 Northeast Optic Network, 12.750%,
due 08/15/08 2,925,000
2,000,000 @@ Poland Telecom Finance, 14.000%,
due 12/01/07 550,000
2,000,000 @@ RSL Communications, Ltd./RSL
Communications, PLC., 12.250%,
due 11/15/06 1,990,000
2,000,000 Viatel, Inc., 11.500%, due 03/15/09 1,830,000
-------------
11,259,160
-------------
Consumer Products: 0.92%
1,000,000 Simmons Co., 10.250%, due 03/15/09 850,000
-------------
Containers, Packaging, Glass: 0.89%
2,538,000 Indesco Int'l, Inc., 9.750%, due 04/15/08 824,850
-------------
Electronics: 1.53%
$3,000,000 Cooperative Computing, Inc.,
9.000%, due 02/01/08 $ 675,000
660,000 Entex Information Services, Inc.,
12.500%, due 08/01/06 737,550
-------------
1,412,550
-------------
Finance, Insurance, Banking: 1.02%
1,000,000 MFN Financial Corp.,
10.000%, due 03/23/01 945,000
----------
Food, Beverage & Tobacco: 11.27%
4,250,000 @@ Fage Dairy Industries, S.A., 9.000%,
due 02/01/07 3,548,750
3,600,000 North Atlantic Trading, Inc., 11.000%,
due 06/15/04 3,366,000
4,000,000 Packaged Ice, Inc., 9.750%, due 02/01/05 3,260,000
350,000 Standard Commercial Tobacco Corp.,
8.875%, due 08/01/05 260,750
-------------
10,435,500
-------------
Gaming & Lottery: 1.48%
1,500,000 Venetian Casino and Resort, LLC.,
10.000%, due 11/15/05 1,372,500
-------------
Health Care: 4.27%
2,300,000 Health Insurance Plan, 11.250%,
due 07/01/10 1,426,000
1,317,073 Intracel Corp., 12.000%, due 08/25/03 329,268
7,682,927 Intracel Corp., 12.000%, due 08/25/03 1,920,732
275,985 Intracel Corp., 13.000%, due 05/27/00 275,985
-------------
3,951,985
-------------
Homebuilding, Building Materials: 3.01%
3,500,000 Engle Homes, Inc., 9.250%, due 02/01/08 2,782,500
-------------
Manufacturing: 1.64%
4,000,000 Decora Industries, Inc., 11.000%,
due 05/01/05 1,520,000
-------------
See Accompanying Notes to Financial Statements
55
<PAGE>
Pilgrim
High Total
Return Fund II
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Principal
Amount Value
------ -------------
Oil & Gas: 0.34%
500,000 @@ Northern Offshore Asa, 10.000%,
due 05/15/05 $ 315,000
-------------
Oil & Gas Refining & Marketing: 1.98%
1,986,133 @@ Hurricane Hydrocarbons,
# 16.000%, due 12/31/01 1,837,173
-------------
Restaurants: 2.40%
3,000,000 Romacorp, Inc., 12.000%, due 07/01/06 2,220,000
-------------
Retail: 0.93%
1,000,000 Tom's Foods, Inc., 10.500%, due 11/01/04 857,500
-------------
Shipping: 2.46%
3,700,000 @@ Equimar Shipholdings, Ltd., 9.875%,
due 07/01/07 1,480,000
900,000 @@ Ultrapetrol Bahamas, Ltd., 10.500%,
due 04/01/08 796,500
-------------
2,276,500
-------------
Total Corporate Bonds (Cost $105,537,374) 78,005,850
-------------
Shares Value
------- ---------
COMMON STOCK: 0.49%
Cable & DBS: 0.32%
24,124 @# Canadian Satellite Communicatiions, Inc. 298,923
-------------
Communications -- Wireless: 0.13%
72,516 @ International Wireless Communications 120,993
-------------
Health Care: 0.02%
59,659 @ Intracel Corp. 14,915
-------------
Manufacturing: 0.01%
250 @ Jordan Telecommunications 13,000
-------------
Restaurants: 0.01%
13,012 @ International Fastfood Corp. 6,116
-------------
Total Common Stock (Cost $2,436,876) 453,947
-------------
MUTUAL FUNDS: 1.47%
Finance, Insurance, Banking: 1.47%
163,948 Van Kampen Senior Income Trust
(Cost $1,372,281) $ 1,362,817
-------------
PREFERRED STOCK: 5.13%
Broadcasting, Radio & Television: 0.57%
5,000 @& Paxson Communications Corp. 530,000
-------------
Communications -- Wireline: 2.06% 916,303
9,620 & Adelphia Business Solutions, 12.875%,
due 10/15/07 996,000
-------------
4,000 @@ Global Crossing, Ltd., 6.750%,
due 04/15/12 1,912,303
-------------
Food, Beverage and Tobacco: 1.22%
74,125 & North Atlantic Trading, Inc., 12.000%,
due 06/15/07 1,130,413
-------------
Finance, Insurance, Banking: 0.00%
13,500 Superior National Capital Trust,
10.750%, due 12/01/17 135
-------------
Manufacturing: 0.00%
12,070 & Clark Material Handling Co., 13.000%,
due 07/15/07 0
-------------
Metals and Mining: 0.99%
10,000 @@ International Utilities Structures, Inc.,
& 13.000%, due 02/01/08 891,250
285 @@ International Utilities Structures, Inc.,
&# 13.000%, due 02/01/08 23,655
-------------
914,905
-------------
Oil & Gas Refining & Marketing: 0.20%
200,000 Transcontinental, 6.000%, due 06/30/00 186,600
-------------
Restaurants: 0.09%
15,460 International Fastfood Corp., 0/3.000% 81,165
-------------
Total Preferred Stock (Cost $9,423,055) 4,755,521
-------------
Number of
Warrants Value
--------- -----------
@ WARRANTS: 0.79%
Business Services: 0.01%
21,125 Comforce Corp. $ 5,281
-------------
Cable and DBS: 0.17%
12,600 Diva Systems Corp. 154,350
-------------
Communications -- Internet: 0.51%
2,000 Bell Technology Group, Ltd. 477,800
-------------
505 Unifi Communications, Inc. 0
-------------
477,800
-------------
Communications -- Wireless: 0.00%
1,500 International Wire Holding Co. 15
-------------
Communications -- Wireline: 0.00%
2,000 Poland Telecom Finance 20
-------------
Food, Beverage and Tobacco: 0.10%
550 North Atlantic Trading, Inc. 55,000
1,000 Packaged Ice, Inc. 35,000
5 Packaged Ice, Inc. 175
-------------
90,175
-------------
Total Warrants (Cost $151,389) 727,641
-------------
Total Long-Term Investments
(Cost $118,920,975) 85,305,776
-------------
See Accompanying Notes to Financial Statements
56
<PAGE>
Pilgrim
High Total
Return Fund II
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Principal
Amount Value
---------- ------------
SHORT-TERM INVESTMENTS: 4.39%
Repurchase Agreement: 4.39%
$4,062,000 State Street Repurchase Agreement,
5.680%, due 05/01/00 (Collateralized
by $4,115,000 U.S. Treasury Notes,
5.250% Market Value $4,145,863, Due
05/31/01) $ 4,062,000
-------------
Total Short-Term Investments
(Cost $4,062,000) 4,062,000
-------------
Total Investments
(Cost $122,982,975)* 96.53% $ 89,367,776
Other Assets and
Liabilities--Net 3.47% 3,213,975
------ -------------
Total Net Assets 100.00% $ 92,581,751
====== =============
@ Non-income producing security
# Securities with purchases pursuant to Rule 144A, under the Securities Act
of 1933 and may not be resold subject to that rule, except to qualified
institutional buyers.
& Payment-in-kind
@@ Foreign Issuer The cost for federal income tax purposes and the aggregate
appreciation and depreciation of securities was as follows:
Gross Unrealized Appreciation $ 1,405,280
Gross Unrealized Depreciation (35,530,107)
-------------
Net Unrealized Depreciation $ (34,124,827)
=============
See Accompanying Notes to Financial Statements
57
<PAGE>
Investment Manager
Pilgrim Investments, Inc.
40 North Central Avenue, Suite 1200
Phoenix, Arizona 85004-4408
Distributor
Pilgrim Securities, Inc.
40 North Central Avenue, Suite 1200
Phoenix, Arizona 85004-4408
Administrator
Pilgrim Group, Inc.
40 North Central Avenue, Suite 1200
Phoenix, Arizona 85004-4408
Transfer Agent
DST Systems, Inc.
P.O. Box 419368
Kansas City, Missouri 64141-6368
Custodian
State Street Bank and Trust
1 Heritage Place
North Quincy, MA 02171
Legal Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006
Prospectus containing more complete information regarding the Funds, including
charges and expenses, may be obtained by calling Pilgrim Securities, Inc.
Distributor at 1-800-334-3444. Please read the prospectus carefully before you
invest or send money.
MAYSEMI0400
